Re: [Gretl-users] New Windows snapshot - PERFECT!

On Thu, 26 Jan 2006, john w wrote: I've been thinking about this. First of all, note that you ALREADY get those statistics in the VAR output. In case you haven't noticed, they're right at the beginning. But I assume that what you want is those criteria reported for several lag orders, so you can choose the "right" lag order. The trouble is, I don't think you want to check the information criteria AFTER having estimated the model. The ideal thing to do, in my view, would be to have a separate command (say, "lagselect") to give you an idea of the order of the VAR you want to estimate. VECMs wouldn't need a separate procedure, since a VECM is nothing but a VAR with a peculiar type of restriction on the parameters. The most linear way to accomplish this in a script would be something like: list VARvars = x y z n = lagselect(VARvars,BIC) var n VARvars having the lagselect command issue some sort of output to let you check what's happening. Note, by the way, that something like the above can be achieved by some simple modifications to the script I sent a few days ago. Now, how would you translate this into a GUI procedure? Maybe you can select some variables from the main window and then (after right-clicking or going through the menu) you get the output from lagselect, after which you decide which lag structure you want and proceed with estimation. Or would you rather have the option (in the VAR dialog) of automatically selecting the lag order via AIC or BIC instead of specifying it manually? Or both things? If we reach a consensus on a) whether this is necessary at all b) if a), if it is urgently needed c) if a) & b), the "right" way to do it, then we can get something done. Riccardo `Jack' Lucchetti Dipartimento di Economia Università Politecnica delle Marche jack(a)dea.unian.it http://www.econ.univpm.it/lucchetti