[Gretl-users] Implement new criterion for var lag selection

Gian Lorenzo Spisso glspisso at gmail.com
Tue Jul 9 07:15:43 EDT 2013


Hi all,
I would like to implement in GRETL the procedure for lag selection of a VAR
as specified here:
http://www.tandfonline.com/doi/pdf/10.1080/1350485022000041050 which
essentialy replace BIC and HQC with a weighted average of the two.

Is there any easy to install package that I could use?
Otherwise could it be possible to simply reprogram AIC column to show this
criterion instead? In case can anybody provide a little guidance for the
process? I am not familiar with gretl programming.

Thank you,
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