Re: [Gretl-users] arima and info criteria
Thanks! That explains it. When I read the Gretl guide it says k equals the
number of independantly adjusted parameters. I didn't think to include the
variance. It's more natural to think that k would equal the dimension of the
gradient vector.
thanks again,
Bob
On Sun, May 15, 2011 at 2:21 PM, Allin Cottrell <cottrell(a)wfu.edu> wrote:
On Mon, 9 May 2011, Bob McCall wrote:
> When calculating information criteria for arima models, Gretl
> seems to use k + 1 parameters instead of k parameters.
Gretl calculates the information criteria for ARIMA models in the
same way as X-12-ARIMA. The "extra" parameter is the variance of
the innovation.
Allin Cottrell
_______________________________________________
Gretl-users mailing list
Gretl-users(a)lists.wfu.edu
http://lists.wfu.edu/mailman/listinfo/gretl-users
Attachments:
- attachment.html (text/html — 1.3 KB)