Hi all,
I would like to implement in GRETL the procedure for lag selection of a VAR
as specified here:
http://www.tandfonline.com/doi/pdf/10.1080/1350485022000041050 which
essentialy replace BIC and HQC with a weighted average of the two.
Is there any easy to install package that I could use?
Otherwise could it be possible to simply reprogram AIC column to show this
criterion instead? In case can anybody provide a little guidance for the
process? I am not familiar with gretl programming.
Thank you,