Re: [Gretl-users] ABOUT SBIC
El 01/03/11 07:51, Sam Sam escribió:
Dear all:
The formulation of the Schwarz Bayesian Information Criterion is -2
×/L(θ)+ k //log n in /gretl user`s guide.
But the gretl output of ARIMA seems cauculated by the formulation of -2
×/L(θ)+ k //ln n ./
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/Is it log or ln ?/
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/Thanks a lot/
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When we talk about "likelihood" in econometrics we usually refer to
Gaussian likelihood. In such a context, using natural logs (or neperian
logs) has the advantage of simplifying the likelihood function. So, by
default, when we write 'log' we are talking about natural logs. If you
want to be more precise, you may write it 'ln', but it is very common in
the econometrics literature to write it as 'log.
In short, they are the same: natural logs.
--
Ignacio Diaz-Emparanza
DEPARTAMENTO DE ECONOMÍA APLICADA III (ECONOMETRÍA Y ESTADÍSTICA)
UPV/EHU Avda. Lehendakari Aguirre, 83 | 48015 BILBAO
T.: +34 946013732 | F.: +34 946013754
www.ea3.ehu.es