[Gretl-devel] arima-Problem: unexpected $bic values

Hi, first I've noticed a strange behavior with Jack's BNdecomp.gfn package when I used the auto choice of AR/MA orders. But I think I've tracked this down to what the $bic accessor gives with gretl's arima command. (So I don't think this is a problem with BNdecomp, it just shows up there.) Below is a complete example of what I mean. The $bic value for an ARIMA(1,1,0) model --which is obviously just an AR(1) in first differences-- is noticeably higher when gretl's "arima" command is used, compared to what the manual AR(1) to the diffs gives me. Notice that this difference flips around the ranking of the models; the manual approach (and conventional wisdom) prefers to include the first lag, while the $bic values from "arima" would point to the ARIMA(0,1,0) model without lags. (And that's what may lead to strange results of the BNdecomp auto choice.) thanks, sven <example-comparison> open AWM.gdt set verbose off series DY = diff(YER) # YER: real GDP smpl 1975:1 1998:4 # manual ARIMA(1,1,0) on levels GDP via OLS: ols DY const DY(-1) # highly significant first lag bic_man110 = $bic # comparison ARIMA(0,1,0) = ARMA(0,0) ols DY const bic_man010 = $bic # gretl ARIMA(1,1,0) arima 1 1 0; YER bic_a110 = $bic # comparison gretl ARIMA(0,1,0) arima 0 1 0; YER bic_a010 = $bic print "---------- 1 1 0" print bic_man110 # 1922.5920 print bic_a110 # 1929.7816 print "---------- 0 1 0" print bic_man010 # 1923.8034 print bic_a010 # same (1923.8034) </example-comparison>