Dear Ioannis,
 
the residual in the Excel-sheets are those from the VAR regresison. I extracted them from the VAR regression Output via 'Save --> Residuals from equation 1/2'. I used those residuals in order to try to recreate the AIC in gretl.
 
 
Best regards,
Marvin
 
Gesendet: Freitag, 02. März 2018 um 12:07 Uhr
Von: "Ioannis A. Venetis" <ivenetis@upatras.gr>
An: gretl-users@lists.wfu.edu
Betreff: Re: [Gretl-users] Function of the AIC in VAR lag selection (Marvin Berndt) (Marvin Berndt)

Dear Marvin,

You must use the VAR residuals covariance matix. From what I see in your Excel icons, the covariance matrix you employ is (named Omega there) the covaiance matrix of your data series.

 

Best,

 

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