Hello everybody,
I'm new to gretl and in process of familiarizing
myself with it. So I have a question concerning
var command.
Example:
var 5 x1 x2 --lagselect
if I change order from 5 to 8 or 10
values of AIC, BIC ... will change for lower lags.
Is this correct behavior ? Should not values
for AIC, BIC ... stay the same for lower lags ?
Also short question on ADF. In help I see that there
is algorithm presented for --test-down. Can you
comment if there is need and if it --test-down include
lag selection by AIC, BIC or other tests ?
All best,
Davor