Re: [Gretl-users] VAR roots plot
On Mon, 23 Jan 2006, john w wrote:
Hi,
I mentioned VAR root plots.
Ok. Thank you. And I have another question/request.
What about Information criteria (AIC, BIC, HQ etc.) for selecting lags in
VAR/VECM?
LR test for the longest lag (lag signifficance) is great but it would be
nice to have Information criteria tests for choosen number of lags in one
table.
What do you think?
This is rather easy to do. However, a dedicated function does the job
nicely too. See the attached files.
Riccardo `Jack' Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
jack(a)dea.unian.it
http://www.econ.univpm.it/lucchetti
Attachments:
- var_autolag.inp (chemical/x-gamess-input — 890 bytes)
- var_autolag_ex.inp (chemical/x-gamess-input — 91 bytes)