I am a little confused about the behaviour of AIC, HQC and BIC in
the standard ols command. I estimated some AR(p) models with different p
values with the 'ols' and the 'var' commands. The last with only one
variable which I know it is not designed for, but ... it works.
I see that the BIC obtained through both commands:
1- are not the same. I suspect may be some different scale factor in the
formulas but this should not be a problem.
2- leads to different specification, and yes, this is a problem. In
concrete, the BIC in ols would suggest the maximum number of lags, and
this does not seem to be correct if one have a look at the correlograms.
function void ARF(series y, scalar maxorder)
var i y
list xlist = lags(i,y)
ols y 0 xlist
[Linux Ubuntu 10.04 and gretl from CVS build date 2010-05-14]
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