Re: [Gretl-users] VAR roots plot
Thnx Jack.
1. This could be done for VECM too?
2. function var_autolag(list X, list Z, scalar maxlag). X,Z and maxlag must
be changed manually?
If there are no exogenous then Z must be 0?
3. In your previous mails you mentioned GUI. Where I can download GUI (if
you have some link)?
Thank you again.
From: jack <jack(a)deanovell.unian.it>
Reply-To: jack(a)deanovell.unian.it, Gretl list
<gretl-users(a)ricardo.ecn.wfu.edu>
To: Gretl list <gretl-users(a)ricardo.ecn.wfu.edu>
Subject: Re: [Gretl-users] VAR roots plot
Date: Mon, 23 Jan 2006 10:28:51 +0100 (CET)
On Mon, 23 Jan 2006, john w wrote:
> Hi,
> I mentioned VAR root plots.
> Ok. Thank you. And I have another question/request.
> What about Information criteria (AIC, BIC, HQ etc.) for selecting lags
in
> VAR/VECM?
> LR test for the longest lag (lag signifficance) is great but it would be
> nice to have Information criteria tests for choosen number of lags in
one
> table.
>
> What do you think?
This is rather easy to do. However, a dedicated function does the job
nicely too. See the attached files.
Riccardo `Jack' Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
jack(a)dea.unian.it
http://www.econ.univpm.it/lucchetti
<< var_autolag.inp >>
<< var_autolag_ex.inp >>
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