[Gretl-devel] Re: problem with omit --auto=BIC

On Fri, Jul 25, 2025 at 9:53 AM Sven Schreiber <sven.schreiber(a)fu-berlin.de&gt; wrote: > 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.' ?? BIC = -2 * loglik + k * log(n) The sample size, n, is a constant in context, and dropping any regressor will reduce k by 1. All that matters for the comparison of candidates is the least squares loglikelihood, and the SSR is only variable in that calculation. Omitting the regressor with the smallest absolute t-ratio will produce the smallest possible increase in the SSR, and hence the best post-omission BIC.