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

Giuseppe Vittucci ignatiusreilly75 at yahoo.it
Tue Jul 9 09:12:03 EDT 2013


It is just the arithmetic mean of the two criteria (BIC and HQC).

See you
Giuseppe

On Tue, 2013-07-09 at 14:45 +0200, Riccardo (Jack) Lucchetti 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 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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