Re: [Gretl-devel] Presentation of model results
Apart from the looks, I'm not sure why Akaike should be preferred over
Hannan-Quinn in terms of econometrics. I'm sure AIC is good for some
objectives, but AFAIK it is not consistent in the sense that it doesn't
pick the true model even asymptotically, in contrast to Hannan-Quinn.
Am I mixing things up here, or are these thoughts irrelevnant for the
issue we're discussing right now? Otherwise I would tend to either keep
all or ditch AIC.
cheers,
sven
Riccardo (Jack) Lucchetti schrieb:
On Thu, 20 Nov 2008, Allin Cottrell wrote:
>> Oh, another thing. I skipped the Hannan-Quinn criterion for
>> consistency with Allin's original proposal, but I'd really
>> prefer to keep it.
>
> I'd be happy to keep it, I was just trying to come up with an even
> number of basic stats.
Would this be too much? One nice thing about it is that it reminds me of
archaic versions of gretl :-)
Index: lib/src/modelprint.c
===================================================================
RCS file: /cvsroot/gretl/gretl/lib/src/modelprint.c,v
retrieving revision 1.356
diff -u -r1.356 modelprint.c
--- lib/src/modelprint.c 20 Nov 2008 18:01:39 -0000 1.356
+++ lib/src/modelprint.c 20 Nov 2008 22:42:46 -0000
@@ -2568,9 +2568,6 @@
pprintf(prn, "%-20s%s %-20s%s\n", _("S.E. of regression"),
print_eight(x1, pmod->sigma),
_("Log-likelihood"), print_eight(x2, pmod->lnL));
- pprintf(prn, "%-20s%s %-20s%s\n", _("Akaike criterion"),
- print_eight(x1, pmod->criterion[C_AIC]),
- _("Schwarz criterion"), print_eight(x2,
pmod->criterion[C_BIC]));
pprintf(prn, "%-20s%s %-20s%s\n",
fstr, print_eight(x1, pmod->fstt),
_("P-value(F)"), print_eight(x2, pvF));
@@ -2580,6 +2577,13 @@
print_eight(x2, pmod->dw));
}
pputc(prn, '\n');
+ pputs(prn, _("Information criteria"));
+ pputs(prn, ":\n");
+ pprintf(prn, "AIC: %14.5f BIC: %14.5f HQC: %14.5f\n",
+ pmod->criterion[C_AIC],
+ pmod->criterion[C_BIC],
+ pmod->criterion[C_HQC]);
+ pputc(prn, '\n');
if (strcmp(note, _(note))) {
pputs(prn, _(note));
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti
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