[Gretl-devel] Re: problem with omit --auto=BIC
Am 25.07.2025 um 19:27 schrieb Allin Cottrell:
It's something to do with lags. With time-series data and a
specification that includes lags (like yours), SSR goes NaN and
therefore BIC goes NaN when a regressor that's a lag is omitted.
I think it's more subtle - I have variations here where some lags are
omitted and BIC is OK, and then later the problem happens.
No other insight so far.
-s