Re: [Gretl-users] About the automatic ADF lag length selection

El Friday 20 February 2009 03:54:50 Allin Cottrell escribió: > On Wed, 18 Feb 2009, Olle Olsson wrote: > > I can't find any reference in the manual about this so I'm > > asking the question here: is anyone aware of literature on how > > Gretl's automatic lag length selection for the ADF test perform > > compared to lag selection by the AIC or BIC criteria? > > I'm not aware of any literature on that, but it wouldn't be > difficult to write a gretl script to make the comparison. > That's "left as an exercise" ;-) > > Hint: set up an artificial Data Generating Process with known lag > length.  Run gretl's automatic lag-selection procedure and also a > scripted lag-selection procedure using $aic, $bic or $hqc.  Wrap > this in a loop with a few thousand interations and calculate > appropriate statistics -- for example, at the simplest, the > relative frequencies of cases where the selected lag order is "too > short", "just right" and "too long", relative to the known DGP, > for gretl's automatic version and the alternatives. > > I suspect $aic will select an excessive lag order more often than > the other criteria; other than that, I'm not sure what you'll > find. > > Bonus: if you can show convincingly that an alternative method is > better than what gretl does currently, we'll change the method. > > Allin Cottrell > _______________________________________________ I remember that in the time when I was using RATS, there was an interesting procedure "lagselect" which served to decide how to determine the lag. You can have a look at it in http://www.estima.com/procs_perl/500/lagselec.src -- Ignacio Diaz-Emparanza DEPARTAMENTO DE ECONOMÍA APLICADA III (ECONOMETRÍA Y ESTADÍSTICA) UPV/EHU Avda. Lehendakari Aguirre, 83 | 48015 BILBAO T.: +34 946013732 | F.: +34 946013754 www.et.bs.ehu.es _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users