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

Gian Lorenzo Spisso glspisso at gmail.com
Tue Jul 9 08:58:42 EDT 2013


Dear Riccardo,
I attach a screenshot of the relevant part.
You can see the formulas for the two criterion, and the new criterion
proposed by Hatemi which simply averages the two. He then goes on and uses
a Montecarlo simulation to show that this mixed criterion as higher
probability in picking the right lag.


On Tue, Jul 9, 2013 at 2:45 PM, Riccardo (Jack) Lucchetti <
r.lucchetti at univpm.it> wrote:

> 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<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?
>
> ------------------------------**-------------------------
>   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<http://www2.econ.univpm.it/servizi/hpp/lucchetti>
> ------------------------------**-------------------------
> _______________________________________________
> Gretl-users mailing list
> Gretl-users at lists.wfu.edu
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>



-- 
Gian Lorenzo Spisso


*Phone*: 415-359-4330
*Skype*: glspisso
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