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

On Tue, 9 Jul 2013, Gian Lorenzo Spisso wrote: Hi all, > I would like to implement in GRETL the procedure for lag selection of a > VAR > as specified here: > http://www.tandfonline.com/**doi/pdf/10.1080/**1350485022000041050<htt... > essentialy replace BIC and HQC with a weighted average of the two. > > Is there any easy to install package that I could use? > Otherwise could it be possible to simply reprogram AIC column to show this > criterion instead? In case can anybody provide a little guidance for the > process? I am not familiar with gretl programming. > I don't have a subscription to "Applied Economics Journal". Could you describe me the proposed method? ------------------------------**------------------------- 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... ------------------------------**------------------------- _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users