[Gretl-devel] Re: problem with omit --auto=BIC
Am 25.07.2025 um 13:08 schrieb Cottrell, Allin:
On Fri, Jul 25, 2025 at 7:03 AM Sven Schreiber
<sven.schreiber(a)fu-berlin.de> wrote:
> Will do -- but in the meantime, is my assumption correct that the
> constant should not automatically be removed by the algorithm?
Yes, that's right.
I'm looking at some related code in git, leading to some questions
(although not directly related to the reported failure yet).
In lib/src/compare.c there's auto_drop_var around line 1511. In that
function, it seems that a first loop picks the candidate variable to be
dropped, and always by looking at the minimal t-stat. (if (tstat < tmin)
and so on.) Only _afterwards_ does the choice of using an info criterion
come into play. (Below, where: "... else { /* using an info criterion */
...")
I can understand why one wants to focus on a candidate variable in each
round, but doesn't that contradict the documentation of omit --auto:
'The “best” candidate at each step is then that whose omission gives the
greatest improvement (reduction) in the selected criterion.' ??
Maybe I'm not looking at the really relevant path of the code, though.
thanks
sven