[Gretl-devel] Re: regls (...)

OK, here's another regls question, and again nothing to do with missings anymore -- I thought I re-interpret this thread as being regls-related in general today. I've been puzzled by real-world applications with lots of potential regressors and how the optimization of the lambda sequence turns out, especially with the BIC. Gretl seems to tell me quite often that the optimal model is one where the R2 attains 100% more or less, which I find implausible. I'm attaching an artificial example based on the shipped fat.inp script. I changed the single-lambda setup to one with nlambda=50. The output seems to suggest to use the very liberal model with 81 non-zero coeffs (for n=80). It seems incredible that this really can be true, especially given the true model in the background. Is there some problem with the BIC calculation in these "fat" cases? thanks sven