Re: [Gretl-users] Implement new criterion for var lag selection
It is just the arithmetic mean of the two criteria (BIC and HQC).
See you
Giuseppe
On Tue, 2013-07-09 at 14:45 +0200, Riccardo (Jack) Lucchetti wrote:
On Tue, 9 Jul 2013, Gian Lorenzo Spisso wrote:
> Hi all,
> I would like to implement in GRETL the procedure for lag selection of a VAR
> as specified here:
> http://www.tandfonline.com/doi/pdf/10.1080/1350485022000041050 which
> essentialy replace BIC and HQC with a weighted average of the two.
>
> Is there any easy to install package that I could use?
> Otherwise could it be possible to simply reprogram AIC column to show this
> criterion instead? In case can anybody provide a little guidance for the
> process? I am not familiar with gretl programming.
I don't have a subscription to "Applied Economics Journal". Could you
describe me the proposed method?