[Gretl-users] VAR in connection to AIC, BIC ...

[Sven Schreiber]

Hi Davor,

Am 03.08.2008 12:31, Davor Horvatic schrieb:
> Hello everybody,
> 
> I'm new to gretl and in process of familiarizing
> myself with it. So I have a question concerning
> var command.
> 
> Example:
> 
> var 5 x1 x2 --lagselect
> 
> if I change order from 5 to 8  or 10
> values of AIC, BIC ... will change for lower lags.
> Is this correct behavior ? Should not values
> for AIC, BIC ... stay the same for lower lags ?

With a longer max lag the sample is shortened, and you cannot compare 
the information criteria across different samples.

> 
> Also short question on ADF. In help I see that there
> is algorithm presented for --test-down. Can you
> comment if there is need and if it --test-down include
> lag selection by AIC, BIC or other tests ?

I don't really understand the "if there is need" part, my best guess of 
an answer is: it depends on your priors and on the data. With respect to 
the second part, I'm not sure right now what gretl uses to test down, 
sorry, but I'm pretty sure it's in the manual.

cheers,
sven