[Gretl-users] Fwd: Function of the AIC in VAR lag selection (Marvin Berndt) (Marvin Berndt)

Am 02.03.2018 um 12:36 schrieb Marvin Berndt: > Dear Ioannis, > the residual in the Excel-sheets are those from the VAR regresison. I > extracted them from the VAR regression Output via '/Save --> Residuals from > equation 1/2/'. I used those residuals in order to try to recreate the AIC > in gretl. > With such a short sample I suspect it makes a big difference whether 1/T or 1/(T-K) is used for the (co)variance calculation. Both variants are "correct" in that the method is for large samples anyway. There was a discussion on this (ore the devel) mailing list about whether to apply a d.o.f.-correction for VARs but I cannot find it. I agree it could be documented better, the VAR chapter in the guide is --alas-- still not finished. I _believe_, however, that gretl for VARs does it without this small-sample correction (this would also apply to the $sigma accessor, to those who know what that is). In principle we could all look it up in the source, right? Hehe. (Apart from the fact that currently sourceforge is not accessible.) cheers, sven _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users