Re: [Gretl-users] ARDL lag lenght selection using all possible combinations

Am 25.03.2015 um 11:05 schrieb Artur T.: > Dear all, > > I want to find the optimal lag length of an ARDL model allowing for > variable-specific lag lengths. > > For instance, I've got K variables and want to select the optimal lag > structure by searching across the (pmax-1)^K ARDL models, spanned by > p=0,1,..., pmax and p_k=0,1,..., pmax, k=1,.., K using some criteria > (e.g. AIC). > > I am looking for a clever trick to estimate all of these possible models > but only have a complicated "loop-in-loop-in-loop" structure in mind. > Does anybody have a clever idea how to realize this task efficiently? > Yes and no -- No if you want a general solution, because then in my mind there's basically no way around an exhaustive nested loop. Yes if you accept some compromise and possible path-dependence, because then it seems you could just use "omit --auto", no? > Btw, it seems that the latest Eviews 9 version has this feature included: > http://www.eviews.com/EViews9/ev9ecest_n.html#ardl > > I didn't even know that Eviews 9 has come out. cheers, sven _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users