Re: [Gretl-users] Information criteria in VARs
On Sun, 24 Jul 2005, jack wrote:
Sorry Allin, I must admit I wasn't clear at all. If we really
want to go
with the others, the following patch should be applied to CVS:
int k = var->ncoeff;
var->ll = -(g * n / 2.0) * (LN_2_PI + 1) - (n / 2.0) * var->ldet;
- var->AIC = (-2.0 / g) * var->ll + 2.0 * k;
- var->BIC = (-2.0 / g) * var->ll + k * log(n);
+ var->AIC = (-2.0 * var->ll + 2.0 * k * g) / n;
+ var->BIC = (-2.0 * var->ll + log(n) * k * g) / n;
I'm willing to do that, but it seems a bit odd to divide the whole
thing by the number of observations. Is there an obvious rationale?
Allin.