[Gretl-users] correlogram

[Riccardo (Jack) Lucchetti]

On Wed, February 21, 2007 13:35, javier garcia enriquez wrote:
> Hi everybody;
>
>   I'd like to know which criterion does Gretl use by default to give us
> the maximum lag in the correlogram
>

Call T the number of observations in the sample. The rule is:

- for quarterly data: min(T-5,14)
- for yearly or weekly data: min(T-13,28)
- for hourly data: if (T<=100), T-25, otherwise 96
- for all other cases: if (T<=18), T-5, otherwise 14

if the order so found is bigger than T/5, than trim it further to T/5.

For the curious, the place to look at in the source is the function
auto_acf_order, in lib/src/describe.c.


Riccardo (Jack) Lucchetti
Dipartimento di Economia
Facoltà di Economia "G. Fuà"
Ancona