Re: [Gretl-users] Implement new criterion for var lag selection
On Tue, 9 Jul 2013, Gian Lorenzo Spisso wrote:
I would like to implement in GRETL the procedure for lag selection of
a VAR
as specified here:
http://www.tandfonline.com/doi/pdf/10.1080/1350485022000041050 which
essentialy replace BIC and HQC with a weighted average of the two.
You can easily calculate the average of the two criteria, which
gives what Hatemi-J calls the "HJC". For example,
<hansl>
open data9-7
var 6 PRIME UNEMP --lagselect
matrix IC = $test
# average BIC and HQC
matrix HJC = (IC[,2] + IC[,3]) / 2
print HJC
</hansl>
However, the paper that recommends this criterion is quite strange:
it provides no evidence that the averaged value out-performs either
of the individual criteria. It reports a Monte Carlo simulation, but
only gives results for HJC! No comparison is even attempted.
Allin Cottrell