Greetings, everyone
While working in gretl I noticed that there's no adjustment
for the Akaike Information Criterion for small samples nor
corrected for bias (I think this one is not that important).
Although itīs fairly easy to do it, couldn't help but wonder
if it would be possible to create the function for both and
maybe include the AIC for small samples in the
Model information alongside the other Information Criteria.
Here's a little script for both adjustments of the AIC
(after esmimating a model):
#Akaike information criterion corrected for bias
AICbias=-2*$lnl + (2*($ncoeff)*$T/($T-$ncoeff-1))
#AIC for small samples
AICc=$aic+(2*($ncoeff)*($ncoeff+1)/($T-$ncoeff-1))