Re: [Gretl-devel] arima-Problem: unexpected $bic values
On Thu, 23 Mar 2017, Sven Schreiber wrote:
Am 23.03.2017 um 19:05 schrieb Allin Cottrell:
> Thanks for the full example. There are two things going on here.
And thanks for the detailed analysis!
> In light of the comments above, what's happening here? Well, at present
> the BIC value shown by "arma" for p = 0 is as per OLS. Calculating it
> compatibly with ML means adding ln(T), in which case the comparison
> becomes:
>
> p = 0: BIC = 1928.4*
> p = 1: BIC = 1929.8
...
> For the benefit of hansl code that uses AIC or BIC to select ARIMA
> specification, I guess we should switch to ML-compatible calculation of
> information criteria when we end up using least squares under "arma".
Yes I guess so, especially since it wouldn't be difficult to find another
example where the correction would change the ranking.
OK, that's now done in git. Maybe I'll add a little note on this to
the chapter on Information Criteria in the User's Guide.
Allin