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

Riccardo (Jack) Lucchetti r.lucchetti at univpm.it
Tue Jul 9 10:20:24 EDT 2013

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

> 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.

I suppose this is close to what you want: first we run the native gretl 
command, then the customised version including the HJC.

set echo off
set messages off

open denmark
list X = 1 2 3 4
maxlag = 8

var maxlag X --lagselect

crit = zeros(maxlag, 5)
colnames(crit,"lag AIC BIC HQC HJC")

smpl +maxlag ;
loop i=1..maxlag --quiet
     var i X --silent
     crit[i,] = i ~ $aic ~ $bic ~ $hqc ~ 0.5*($bic + $hqc)
end loop
best = iminc(crit[,2:5])
colnames(best,"bAIC bBIC bHQC bHJC")

smpl full
print crit best

   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

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