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.

On Tue, Jul 9, 2013 at 2:45 PM, Riccardo (Jack) Lucchetti <r.lucchetti@univpm.it> wrote:

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 which
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?

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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@univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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Gian Lorenzo Spisso

Phone: 415-359-4330

Skype: glspisso