Re: [Gretl-users] Implement new criterion for var lag selection
On Tue, 9 Jul 2013, Gian Lorenzo Spisso wrote:
Dear Riccardo,
I attach a screenshot of the relevant part.
You can see the formulas for the two criterion, and the new criterion
proposed by Hatemi which simply averages the two. He then goes on and uses
a Montecarlo simulation to show that this mixed criterion as higher
probability in picking the right lag.
I suppose this is close to what you want: first we run the native gretl
command, then the customised version including the HJC.
<hansl>
set echo off
set messages off
open denmark
list X = 1 2 3 4
maxlag = 8
var maxlag X --lagselect
crit = zeros(maxlag, 5)
colnames(crit,"lag AIC BIC HQC HJC")
smpl +maxlag ;
loop i=1..maxlag --quiet
var i X --silent
crit[i,] = i ~ $aic ~ $bic ~ $hqc ~ 0.5*($bic + $hqc)
end loop
best = iminc(crit[,2:5])
colnames(best,"bAIC bBIC bHQC bHJC")
smpl full
print crit best
</hansl>
-------------------------------------------------------
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
-------------------------------------------------------