Dear all.

I'm estimating a Unrestricted VAR in gretl via the GUI, and previosly I check the best order of the VAR with the option selection menu. I'm a little surprised to see how AIC BIC and HQC criteria obtained are different in this option, which then get really when estimating the VAR.

For example, I find that selecting a maximum of 4 lags, the optimal lag function gives me 1 lag in AIC, BIC and HQC. But when after I estimated the model with 1 or 2 lags, AIC, BIC and HQC are lower for 2 than for 1 lags, plus get a better R2 with 2 lags. I have found that the criteria obtained by estimating the VAR are identical to those of Eviews.

Am I doing something wrong? or is there a problem with the menu selection optimum lag for vars? Because the results and interpretations (eg in the Granger Causality test) are very different as choose one lag or two lags for the var estimation.

Thanks in advance and sorry for any inconvenience.

José F. Perles
University of Alicante
Spain