[Gretl-users] VAR lag selection
I am not sure if this question makes sense but is it normal that AIC,
BIC and HQC values change when a different "maximum lag" selected in
VAR lag selection. I mean, if these statistics change based on the
initial choice of the maximum lags to be tested, then we also need a
test for the maximum number of lags to be tested, no?
Here is an example of the potential inconsistency:
VAR system, maximum lag order 4
The asterisks below indicate the best (that is, minimized) values
of the respective information criteria, AIC = Akaike criterion,
BIC = Schwarz Bayesian criterion and HQC = Hannan-Quinn criterion.
lags loglik p(LR) AIC BIC HQC
1 145.63131 -10.924461 -9.937075 -10.676137
2 159.38080 0.03626 -10.728765 -8.951470 -10.281780
3 182.94995 0.00006 -11.386952 -8.819748 -10.741307
4 224.97540 0.00000 -13.650034* -10.292921* -12.805730*
VAR system, maximum lag order 3
The asterisks below indicate the best (that is, minimized) values
of the respective information criteria, AIC = Akaike criterion,
BIC = Schwarz Bayesian criterion and HQC = Hannan-Quinn criterion.
lags loglik p(LR) AIC BIC HQC
1 149.21357 -10.767797 -9.786086* -10.507349*
2 163.67384 0.02448 -10.639487 -8.872406 -10.170680
3 184.17688 0.00055 -11.014740* -8.462290 -10.337574
Cheers
Talha
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“An expert is a person who has made all the mistakes that can be made
in a very narrow field.” - Niels Bohr (1885-1962)
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