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

Riccardo (Jack) Lucchetti r.lucchetti at univpm.it
Tue Jul 9 08:45:28 EDT 2013


On Tue, 9 Jul 2013, Gian Lorenzo Spisso wrote:

> 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.

I don't have a subscription to "Applied Economics Journal". Could you 
describe me the proposed method?

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   Riccardo (Jack) Lucchetti
   Dipartimento di Scienze Economiche e Sociali (DiSES)

   Università Politecnica delle Marche
   (formerly known as Università di Ancona)

   r.lucchetti at univpm.it
   http://www2.econ.univpm.it/servizi/hpp/lucchetti
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