Am 24.05.2018 um 07:54 schrieb Sven Schreiber:
Am 23.05.2018 um 18:52 schrieb Olivier Montes Ferrer:
> Greetings, everyone
>
> While working in gretl I noticed that there's no adjustment for the
> Akaike Information Criterion for small samples nor corrected for bias
> (I think this one is not that important). Although it´s fairly easy
> to do it, couldn't help but wonder if it would be possible to create
> the function for both and maybe include the AIC for small samples in
> the Model information alongside the other Information Criteria.
>
> Here's a little script for both adjustments of the AIC (after
> esmimating a model):
>
> #Akaike information criterion corrected for bias
> AICbias=-2*$lnl + (2*($ncoeff)*$T/($T-$ncoeff-1))
> #AIC for small samples
> AICc=$aic+(2*($ncoeff)*($ncoeff+1)/($T-$ncoeff-1))
>
Hi, I guess the argument against showing it is that there's not enough
space for everything. In principle having this additional measure
would be nice. I don't think replacing the original AIC would be a
good idea, though, because it's a standard thing and so it would be
confusing.
Hi,
of course these alternative information criteria could easily be added
to Allin's user-contributed "criteria" package. As such they would not
be accessible through the standard $aic accessor but via the package
instead.
@Oliver: You could ask Allin for a collaboration and add these criteria.
Best,
Artur