[R] ar() - AIC and BIC

[J Toll]

Hi,

I'm slowly working through Tsay's "Analysis of Financial Time Series"
3rd ed.  I'm trying to replicate Table 2.1 on p.47, which gives PACF,
AIC, and BIC for the monthly simple returns of the CRSP value-weighted
index.

The data:
http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts3/m-ibm3dx2608.txt

> da <- read.table("http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts3/m-ibm3dx2608.txt", header = TRUE)
> vw <- da[, 3]

I can replicate the PACF calculations.
> x <- pacf(vw)
> x
Partial autocorrelations of series ‘vw’, by lag

    1      2      3      4      5      6      7      8      9     10
0.115 -0.030 -0.102  0.033  0.062 -0.050  0.031  0.052  0.063  0.005
    11     12     13     14     15     16     17     18     19     20
-0.005  0.011 -0.048 -0.084  0.012 -0.055  0.078  0.021 -0.048 -0.062
    21     22     23     24     25     26     27     28     29
-0.060  0.003 -0.025  0.024 -0.041  0.016 -0.023  0.023  0.029

The ar() function returns the same order as indicated in the
book(based on AIC), but the AIC values appear to be adjusted so that
the minimum AIC value is 0.

> m1 <- ar(vw, method = "mle")
> m1$order
[1] 9
> m1$aic
       0         1         2         3         4         5         6
22.329967 10.990260 12.066700  3.350972  4.365413  2.462650  1.960128
       7         8         9        10        11        12
3.041666  2.243258  0.000000  1.966641  3.942486  5.811573

According to the book the AIC values are:
       0         1         2         3         4         5         6
      NA    -5.838    -5.837    -5.846    -5.845    -5.847    -5.847
       7         8         9        10        11        12
  -5.846    -5.847    -5.849    -5.847    -5.845    -5.843

Is there a way to get "unadjusted" AIC values(i.e. values that match
the text)? Additionally, is there a way to force ar() to use BIC and
return those values?

Thank you.

James