Re: [Gretl-users] VAR in connection to AIC, BIC ...
First part.
OK. My guess was that var test goes like
this get max lag compute AIC etc. for
each lag with the set you get minus lag order.
For example take set with 100 members.
lag = 1 you have 99 etc., so the method
is always work with the sample number of points
minus max lag ?
This is why I asked
because it did not soud right to me ... Because
I thought that AIC, BIC, HQC will have
same value for lag = 1 independet of maxlag.
In general, this will be more true for very large
N of sample.
Secon part.
As I said it is in the manual. My question
was do I have any freedom beside manual
OLS and reading off AIC, BIC, HQC to
see correct lag for ADF. The method in manual
for --test-down and it is t-statiscis.
All best,
Davor
Sven Schreiber wrote:
Hi Davor,
Am 03.08.2008 12:31, Davor Horvatic schrieb:
> Hello everybody,
>
> I'm new to gretl and in process of familiarizing
> myself with it. So I have a question concerning
> var command.
>
> Example:
>
> var 5 x1 x2 --lagselect
>
> if I change order from 5 to 8 or 10
> values of AIC, BIC ... will change for lower lags.
> Is this correct behavior ? Should not values
> for AIC, BIC ... stay the same for lower lags ?
With a longer max lag the sample is shortened, and you cannot compare
the information criteria across different samples.
>
> Also short question on ADF. In help I see that there
> is algorithm presented for --test-down. Can you
> comment if there is need and if it --test-down include
> lag selection by AIC, BIC or other tests ?
I don't really understand the "if there is need" part, my best guess
of an answer is: it depends on your priors and on the data. With
respect to the second part, I'm not sure right now what gretl uses to
test down, sorry, but I'm pretty sure it's in the manual.
cheers,
sven
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