Re: [Gretl-users] About the automatic ADF lag length selection
On Sat, 21 Feb 2009, Allin Cottrell wrote:
Thanks for the reference. I have hacked up a little script to
play AIC, BIC and HQC against gretl's built-in "testing down"
procedure (attached)...
I should mention that in that script the syntax
lags maxlag ; dy
(allowing a scalar variable for the first argument to the "lags"
command) is new in CVS/snapshot. Previously it had to be a
numerical constant.
Also, here's an addition to the final printout:
<script>
matrix Q = {3,2,1}' ~ (quantile(lsel, 0.75) | \
quantile(lsel, 0.50) | quantile(lsel, 0.25))
colnames(Q, "Q AIC BIC HQC z-test")
printf "Quartiles:\n\n%8.0f\n", Q
</script>
For the AR(3) example I gave earlier, this produces
Quartiles:
Q AIC BIC HQC z-test
3 6 4 6 4
2 6 3 5 3
1 6 2 4 2
Allin.