Re: [Gretl-devel] arima-Problem: unexpected $bic values
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.
thanks,
sven