On Tue, 9 Jul 2013, Gian Lorenzo Spisso wrote: Hi all, > I would like to implement in GRETL the procedure for lag selection of a > VAR > as specified here: > http://www.tandfonline.com/**doi/pdf/10.1080/**1350485022000041050<htt... > essentialy replace BIC and HQC with a weighted average of the two. > > Is there any easy to install package that I could use? > Otherwise could it be possible to simply reprogram AIC column to show this > criterion instead? In case can anybody provide a little guidance for the > process? I am not familiar with gretl programming. > I don't have a subscription to "Applied Economics Journal". Could you describe me the proposed method? ------------------------------**------------------------- Riccardo (Jack) Lucchetti Dipartimento di Scienze Economiche e Sociali (DiSES) Università Politecnica delle Marche (formerly known as Università di Ancona) r.lucchetti(a)univpm.it http://www2.econ.univpm.it/**servizi/hpp/lucchetti<http://www2.econ.un... ------------------------------**------------------------- _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users

On Tue, 9 Jul 2013, Gian Lorenzo Spisso wrote: Dear Riccardo, > I attach a screenshot of the relevant part. > You can see the formulas for the two criterion, and the new criterion > proposed by Hatemi which simply averages the two. He then goes on and uses > a Montecarlo simulation to show that this mixed criterion as higher > probability in picking the right lag. > I suppose this is close to what you want: first we run the native gretl command, then the customised version including the HJC. <hansl> set echo off set messages off open denmark list X = 1 2 3 4 maxlag = 8 var maxlag X --lagselect crit = zeros(maxlag, 5) colnames(crit,"lag AIC BIC HQC HJC") smpl +maxlag ; loop i=1..maxlag --quiet var i X --silent crit[i,] = i ~ $aic ~ $bic ~ $hqc ~ 0.5*($bic + $hqc) end loop best = iminc(crit[,2:5]) colnames(best,"bAIC bBIC bHQC bHJC") smpl full print crit best </hansl> ------------------------------**------------------------- Riccardo (Jack) Lucchetti Dipartimento di Scienze Economiche e Sociali (DiSES) Università Politecnica delle Marche (formerly known as Università di Ancona) r.lucchetti(a)univpm.it http://www2.econ.univpm.it/**servizi/hpp/lucchetti<http://www2.econ.un... ------------------------------**-------------------------

On Tue, 9 Jul 2013, Gian Lorenzo Spisso wrote: Thank you, Riccardo! The script is working, I am only puzzled by one > thing: > in the second half the standard procedure is run once more and the HJC > column is added. But between the first and the second run the result > changes dramatically between the first three criterions. You can see the > result and the aforementioned inconsistency in the attachment. > You have to be very careful to ensure that all the VARs you're comparing are estimated on the same data. This is the reason for the smpl +maxlag ; command in the script I sent you before: to ensure that all VARS use the same number of observations. If your dataset has series starting at different point, you'd get discrepancies similar to the ones you're seeing. ------------------------------**------------------------- Riccardo (Jack) Lucchetti Dipartimento di Scienze Economiche e Sociali (DiSES) Università Politecnica delle Marche (formerly known as Università di Ancona) r.lucchetti(a)univpm.it http://www2.econ.univpm.it/**servizi/hpp/lucchetti<http://www2.econ.un... ------------------------------**-------------------------

I would like to implement in GRETL the procedure for lag selection of a VAR as specified here: http://www.tandfonline.com/doi/pdf/10.1080/1350485022000041050 which essentialy replace BIC and HQC with a weighted average of the two.