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

Gian Lorenzo Spisso glspisso at gmail.com
Tue Jul 9 12:36:43 EDT 2013


I checked everything again, and one of the four variables had one missing
observation at the begging. Now everything is consistent, again grazie.


On Tue, Jul 9, 2013 at 5:39 PM, Riccardo (Jack) Lucchetti <
r.lucchetti at univpm.it> wrote:

> On Tue, 9 Jul 2013, Gian Lorenzo Spisso wrote:
>
>  Thank you, Riccardo! The script is working, I am only puzzled by one
>> thing:
>> in the second half the standard procedure is run once more and the HJC
>> column is added. But between the first and the second run the result
>> changes dramatically between the first three criterions. You can see the
>> result and the aforementioned inconsistency in the attachment.
>>
>
> You have to be very careful to ensure that all the VARs you're comparing
> are estimated on the same data. This is the reason for the
>
> smpl +maxlag ;
>
> command in the script I sent you before: to ensure that all VARS use the
> same number of observations. If your dataset has series starting at
> different point, you'd get discrepancies similar to the ones you're seeing.
>
>
> ------------------------------**-------------------------
>   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>
> ------------------------------**-------------------------
>



-- 
Gian Lorenzo Spisso


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