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 _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users