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,