Re: [Gretl-users] model selection criteria
On Mon, 29 Sep 2014, Sven Schreiber wrote:
Am 29.09.2014 um 16:24 schrieb Summers, Peter:
> Folks,
>
> What are the 3 “model selection statistics” that Gretl mentions when
> doing tests omitting variables? I’m guessing adj. R-squared,
> log-likelihood & AIC, but what about SC & HQ? Or is she referring to the
> 3 info criteria?
Yes I would think the latter, AIC and SC and HQ. But I'm not 100% "in
the know".
Yes, it's the information criteria. But maybe this should be
revisited, in terms of what exact statement is offered and/or which
criteria are included (or whether the statement should just be
dropped).
At one time (long ago, and before we calculated the HQC) the Akaike
and Schwartz criteria were explicitly labeled as "Model selection
criteria". Now, as Peter's question implies, it's not so clear what
we're talking about in that message.
Allin Cottrell