MATLAB: How can i use aic to regression model and time series models matlab R2006a

Question

How can i use AIC and BIC to regression model and time series models (without garchfit) using matlab R2006a, I tried to use aic function to regression model but it turn undefined command aic message.

Answer 1

AICBIC function is available in the Econometrics Toolbox:

http://www.mathworks.com/help/econ/aicbic.html

If you don't have the toolbox you won't be able to call the function. However if you know what the likelihood then AIC is is:

AIC = 2k - 2*ln(L)

http://en.wikipedia.org/wiki/Akaike_information_criterion

To check what toolboxes you have installed run:

>> ver