Hi Davor, Am 03.08.2008 12:31, Davor Horvatic schrieb: > Hello everybody, > > I'm new to gretl and in process of familiarizing > myself with it. So I have a question concerning > var command. > > Example: > > var 5 x1 x2 --lagselect > > if I change order from 5 to 8 or 10 > values of AIC, BIC ... will change for lower lags. > Is this correct behavior ? Should not values > for AIC, BIC ... stay the same for lower lags ? With a longer max lag the sample is shortened, and you cannot compare the information criteria across different samples. > > Also short question on ADF. In help I see that there > is algorithm presented for --test-down. Can you > comment if there is need and if it --test-down include > lag selection by AIC, BIC or other tests ? I don't really understand the "if there is need" part, my best guess of an answer is: it depends on your priors and on the data. With respect to the second part, I'm not sure right now what gretl uses to test down, sorry, but I'm pretty sure it's in the manual. cheers, sven _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users

On Mon, 4 Aug 2008, Davor Horvatic wrote: > OK. My guess was that var test goes like this get max lag > compute AIC etc. for each lag with the set you get minus lag > order. For example take set with 100 members. lag = 1 you have > 99 etc., so the method is always work with the sample number of > points minus max lag ? > > This is why I asked because it did not soud right to me ... > Because I thought that AIC, BIC, HQC will have same value for > lag = 1 independet of maxlag. > As Sven said, the comparison of AIC (and other criteria), for different lag lengths, will not be valid if a different sample range is used in each case. So yes, the sample is of length (T - maxlag) for all calculations in any given comparison. > As I said it is in the manual. My question was do I have any > freedom beside manual OLS and reading off AIC, BIC, HQC to see > correct lag for ADF. The method in manual for --test-down and it > is t-statiscis. > What you see is what you get ;-) Right now, there's no automatic option for test-down in the ADF test other than using the t-statistic on the last lag. It wouldn't be too difficult to write a function that did it some other way, although use of AIC would not be very advisable since it tends to favour overly large models. Allin Cottrell _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users