10:24 a.m.
Folks,
What are the 3 "model selection statistics" that Gretl mentions when doing tests
omitting variables? I'm guessing adj. R-squared, log-likelihood & AIC, but what
about SC & HQ? Or is she referring to the 3 info criteria?
TIA,
PS
[cid:logoimg]
12:15 p.m.
Am 29.09.2014 um 16:24 schrieb Summers, Peter:
Folks,
What are the 3 “model selection statistics” that Gretl mentions when
doing tests omitting variables? I’m guessing adj. R-squared,
log-likelihood & AIC, but what about SC & HQ? Or is she referring to the
3 info criteria?
Yes I would think the latter, AIC and SC and HQ. But I'm not 100% "in
the know".
-sven
6:49 p.m.
On Mon, 29 Sep 2014, Sven Schreiber wrote:
Am 29.09.2014 um 16:24 schrieb Summers, Peter:
> Folks,
>
> What are the 3 “model selection statistics” that Gretl mentions when
> doing tests omitting variables? I’m guessing adj. R-squared,
> log-likelihood & AIC, but what about SC & HQ? Or is she referring to the
> 3 info criteria?
Yes I would think the latter, AIC and SC and HQ. But I'm not 100% "in
the know".
Yes, it's the information criteria. But maybe this should be
revisited, in terms of what exact statement is offered and/or which
criteria are included (or whether the statement should just be
dropped).
At one time (long ago, and before we calculated the HQC) the Akaike
and Schwartz criteria were explicitly labeled as "Model selection
criteria". Now, as Peter's question implies, it's not so clear what
we're talking about in that message.
Allin Cottrell
7:34 p.m.
Sven & Allin,
Thanks for the clarification!
Maybe it's because I'm primarily a time series guy, but my impression is that the
info criteria are primarily used in time series -- before this semester (tomorrow,
actually), I'd never taught them in a cross-section or panel context. Of course
there's no reason not to...
At any rate, I think it'd be better to either a) eliminate that message or b) report
the changes in all the relevant stats (adj-R^2, log-likelihood, & info criteria,
assuming this is feasible). Option a has the advantage (imho) of forcing the user to
confront issues of model specification directly, rather than relying on his/her software
to make the decision. Of course there's always c) go back to referring to
"information criteria" explicitly.
FWIW,
PS
Sent from my iPad
On Sep 29, 2014, at 6:49 PM, Allin Cottrell <cottrell(a)wfu.edu>
wrote:
> On Mon, 29 Sep 2014, Sven Schreiber wrote:
>
>> Am 29.09.2014 um 16:24 schrieb Summers, Peter:
>> Folks,
>>
>> What are the 3 “model selection statistics” that Gretl mentions when
>> doing tests omitting variables? I’m guessing adj. R-squared,
>> log-likelihood & AIC, but what about SC & HQ? Or is she referring to the
>> 3 info criteria?
>
> Yes I would think the latter, AIC and SC and HQ. But I'm not 100% "in
> the know".
Yes, it's the information criteria. But maybe this should be revisited, in terms of
what exact statement is offered and/or which criteria are included (or whether the
statement should just be dropped).
At one time (long ago, and before we calculated the HQC) the Akaike and Schwartz criteria
were explicitly labeled as "Model selection criteria". Now, as Peter's
question implies, it's not so clear what we're talking about in that message.
Allin Cottrell
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Gretl-users(a)lists.wfu.edu
http://lists.wfu.edu/mailman/listinfo/gretl-users
4:25 p.m.
On Mon, 29 Sep 2014, Summers, Peter wrote:
Thanks for the clarification!
Maybe it's because I'm primarily a time series guy, but my
impression is that the info criteria are primarily used in time
series -- before this semester (tomorrow, actually), I'd never
taught them in a cross-section or panel context. Of course there's
no reason not to...
At any rate, I think it'd be better to either a) eliminate that
message or b) report the changes in all the relevant stats
(adj-R^2, log-likelihood, & info criteria, assuming this is
feasible). Option a has the advantage (imho) of forcing the user
to confront issues of model specification directly, rather than
relying on his/her software to make the decision. Of course
there's always c) go back to referring to "information criteria"
explicitly.
For the moment (without prejudice to later amendments) I've gone for
the easy option, (c). In CVS and snapshots, the message refers to
"information criteria" rather than "model selection statistics".
Allin
> On Sep 29, 2014, at 6:49 PM, Allin Cottrell <cottrell(a)wfu.edu> wrote:
>
>> On Mon, 29 Sep 2014, Sven Schreiber wrote:
>>
>>> Am 29.09.2014 um 16:24 schrieb Summers, Peter:
>>> Folks,
>>>
>>> What are the 3 “model selection statistics” that Gretl mentions when
>>> doing tests omitting variables? I’m guessing adj. R-squared,
>>> log-likelihood & AIC, but what about SC & HQ? Or is she referring to
the
>>> 3 info criteria?
>>
>> Yes I would think the latter, AIC and SC and HQ. But I'm not 100% "in
>> the know".
>
> Yes, it's the information criteria. But maybe this should be revisited, in terms
of what exact statement is offered and/or which criteria are included (or whether the
statement should just be dropped).
>
> At one time (long ago, and before we calculated the HQC) the Akaike and Schwartz
criteria were explicitly labeled as "Model selection criteria". Now, as
Peter's question implies, it's not so clear what we're talking about in that
message.
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4 comments
3 participants
participants (3)
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Allin Cottrell -
Summers, Peter -
Sven Schreiber