Re: [Gretl-users] Implement new criterion for var lag selection

On Tue, 9 Jul 2013, Gian Lorenzo Spisso wrote: Thank you, Riccardo! The script is working, I am only puzzled by one > thing: > in the second half the standard procedure is run once more and the HJC > column is added. But between the first and the second run the result > changes dramatically between the first three criterions. You can see the > result and the aforementioned inconsistency in the attachment. > You have to be very careful to ensure that all the VARs you're comparing are estimated on the same data. This is the reason for the smpl +maxlag ; command in the script I sent you before: to ensure that all VARS use the same number of observations. If your dataset has series starting at different point, you'd get discrepancies similar to the ones you're seeing. ------------------------------**------------------------- Riccardo (Jack) Lucchetti Dipartimento di Scienze Economiche e Sociali (DiSES) Università Politecnica delle Marche (formerly known as Università di Ancona) r.lucchetti(a)univpm.it http://www2.econ.univpm.it/**servizi/hpp/lucchetti<http://www2.econ.un... ------------------------------**-------------------------