Re: [Gretl-users] Information criteria in VARs
On Sat, 23 Jul 2005, jack wrote:
[M]ost packages compute the AIC and BIC criteria for VARs by using
the average loglikelihood, whereas we use the total loglik. After
adjusting the correction factors accordingly, this means that we
end up with information criteria that are exactly n times those
from other packages (I checked with Stata and Eviews).
I have no particular commitment to using the total loglik, so let's
go with what the other packages do. (I set up those functions
without checking what is "standard".)
Allin.