Hey,
  Try the AIC function for your model object. ?AIC
       Check package fitAR, there are criterion options for BIC.
             Why use BIC over AIC? I am not sure if it is clear that one is
better. Also, if your model is small it shouldn't really make a difference.
 RegaRds,
                         Ken Hutchison

On Wed, Oct 19, 2011 at 7:22 PM, J Toll <jctoll@gmail.com> wrote:

> 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
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