On Sat, 23 Jul 2005, Allin Cottrell wrote: > On Sat, 23 Jul 2005, jack wrote: > > > [M]ost packages compute the AIC and BIC criteria for VARs by using > > the average loglikelihood, whereas we use the total loglik. After > > adjusting the correction factors accordingly, this means that we > > end up with information criteria that are exactly n times those > > from other packages (I checked with Stata and Eviews). > > I have no particular commitment to using the total loglik, so let's > go with what the other packages do. (I set up those functions > without checking what is "standard".) >
Sorry Allin, I must admit I wasn't clear at all. If we really want to go with the others, the following patch should be applied to CVS: Index: lib/src/var.c =================================================================== RCS file: /cvsroot/gretl/gretl/lib/src/var.c,v retrieving revision 1.166 diff -u -w -r1.166 var.c --- lib/src/var.c 23 Jul 2005 16:26:51 -0000 1.166 +++ lib/src/var.c 24 Jul 2005 00:26:13 -0000 @@ -1432,8 +1432,8 @@ int k = var->ncoeff; var->ll = -(g * n / 2.0) * (LN_2_PI + 1) - (n / 2.0) * var->ldet; - var->AIC = (-2.0 / g) * var->ll + 2.0 * k; - var->BIC = (-2.0 / g) * var->ll + k * log(n); + var->AIC = (-2.0 * var->ll + 2.0 * k * g) / n; + var->BIC = (-2.0 * var->ll + log(n) * k * g) / n; } if (!err && var->F != NULL) { Riccardo `Jack' Lucchetti Dipartimento di Economia Università di Ancona jack(a)dea.unian.it http://www.econ.unian.it/lucchetti