Re: [Gretl-users] VAR in connection to AIC, BIC ...
On Mon, 4 Aug 2008, Davor Horvatic wrote:
OK. My guess was that var test goes like this get max lag
compute AIC etc. for each lag with the set you get minus lag
order. For example take set with 100 members. lag = 1 you have
99 etc., so the method is always work with the sample number of
points minus max lag ?
This is why I asked because it did not soud right to me ...
Because I thought that AIC, BIC, HQC will have same value for
lag = 1 independet of maxlag.
As Sven said, the comparison of AIC (and other criteria), for
different lag lengths, will not be valid if a different sample
range is used in each case. So yes, the sample is of length
(T - maxlag) for all calculations in any given comparison.
As I said it is in the manual. My question was do I have any
freedom beside manual OLS and reading off AIC, BIC, HQC to see
correct lag for ADF. The method in manual for --test-down and it
is t-statiscis.
What you see is what you get ;-) Right now, there's no automatic
option for test-down in the ADF test other than using the
t-statistic on the last lag. It wouldn't be too difficult to
write a function that did it some other way, although use of AIC
would not be very advisable since it tends to favour overly large
models.
Allin Cottrell