Re: [Gretl-users] grabbing VAR lag length in a script
Am 30.07.2011 17:10, schrieb Allin Cottrell:
On Fri, 29 Jul 2011, Sven Schreiber wrote:
> does the
>
> var ... --lagselect
>
> command variant actually save anything that can be accessed in a script?
Good question. Now it does, in CVS. The table of AIC, BIC and
HQC is now available as a matrix via $test after using the
--lagselect option with the var command.
Thanks, that's quite useful!
So if I understand correctly the rows of that matrix refer to lag orders
1 through the order given in the 'var' command, and the columns are AIC,
BIC, HQC, as in the printout. Of course I could check that myself, but I
haven't updated by build yet.
(As an aside question, couldn't the criteria also be given for zero lags?)
That would mean that to recover the lag length recommendation from
--lagselect I could do:
mylagorder = iminc($test)[crit]
where crit=1 means AIC, crit=2 BIC, and crit=3 HQC.
Thanks,
sven