Re: [Gretl-users] Implement new criterion for var lag selection

On Tue, 9 Jul 2013, Gian Lorenzo Spisso wrote: Dear Riccardo, > I attach a screenshot of the relevant part. > You can see the formulas for the two criterion, and the new criterion > proposed by Hatemi which simply averages the two. He then goes on and uses > a Montecarlo simulation to show that this mixed criterion as higher > probability in picking the right lag. > I suppose this is close to what you want: first we run the native gretl command, then the customised version including the HJC. <hansl> set echo off set messages off open denmark list X = 1 2 3 4 maxlag = 8 var maxlag X --lagselect crit = zeros(maxlag, 5) colnames(crit,"lag AIC BIC HQC HJC") smpl +maxlag ; loop i=1..maxlag --quiet var i X --silent crit[i,] = i ~ $aic ~ $bic ~ $hqc ~ 0.5*($bic + $hqc) end loop best = iminc(crit[,2:5]) colnames(best,"bAIC bBIC bHQC bHJC") smpl full print crit best </hansl> ------------------------------**------------------------- 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<http://www2.econ.un... ------------------------------**-------------------------