[Gretl-users] Information criteria in VARs

Allin, I had a look at yesterday's additions in CVS, and they look good to me. There's only one thing I'd like you to think about: most packages compute the AIC and BIC criteria for VARs by using the average loglikelihood, whereas we use the total loglik. After adjusting the correction factors accordingly, this means that we end up with information criteria that are exactly n times those from other packages (I checked with Stata and Eviews). Of course the difference is immaterial when it comes to the purpose these statistics are designed for (ie model selection); also, info criteria are consistently computed in gretl by using the total loglikelihood, so we're just being consistent here. Still, a casual user might compare our estimates with those from the competition (;-)) and mistakenly conclude "gretl is broken". Do you think that a word of warning in the docs is called for? I'm sending this to the user list because I'd like to know what the ohers think too. Riccardo `Jack' Lucchetti Dipartimento di Economia Università di Ancona jack(a)dea.unian.it http://www.econ.unian.it/lucchetti