Am 02.03.2018 um 12:36 schrieb Marvin Berndt:
the residual in the Excel-sheets are those from the VAR regresison. I
extracted them from the VAR regression Output via '/Save --> Residuals
from equation 1/2/'. I used those residuals in order to try to recreate
the AIC in gretl.
With such a short sample I suspect it makes a big difference whether 1/T
or 1/(T-K) is used for the (co)variance calculation. Both variants are
"correct" in that the method is for large samples anyway.
There was a discussion on this (ore the devel) mailing list about
whether to apply a d.o.f.-correction for VARs but I cannot find it. I
agree it could be documented better, the VAR chapter in the guide is
--alas-- still not finished.
I _believe_, however, that gretl for VARs does it without this
small-sample correction (this would also apply to the $sigma accessor,
to those who know what that is).
In principle we could all look it up in the source, right? Hehe. (Apart
from the fact that currently sourceforge is not accessible.)