Re: [Gretl-users] Implement new criterion for var lag selection
On Tue, 9 Jul 2013, Gian Lorenzo Spisso wrote:
Thank you, Riccardo! The script is working, I am only puzzled by one
thing:
in the second half the standard procedure is run once more and the HJC
column is added. But between the first and the second run the result
changes dramatically between the first three criterions. You can see the
result and the aforementioned inconsistency in the attachment.
You have to be very careful to ensure that all the VARs you're comparing
are estimated on the same data. This is the reason for the
smpl +maxlag ;
command in the script I sent you before: to ensure that all VARS use the
same number of observations. If your dataset has series starting at
different point, you'd get discrepancies similar to the ones you're
seeing.
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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