Dear Allin,
Thanks for this. This also answers my qustion from
end of last year. I was interested in possiblity
that one can have multiple options to for lag selection.
I'll test you also script.
All the best,
Davor
> On Fri, 20 Feb 2009, Ignacio Diaz-Emparanza wrote:
>
>> I remember that in the
On Sat, 21 Feb 2009, Allin Cottrell wrote:
> Thanks for the reference. I have hacked up a little script to
> play AIC, BIC and HQC against gretl's built-in "testing down"
> procedure (attached)...
I should mention that in that script the syntax
lags maxlag ; dy
(allowing a scalar variable fo
On Fri, 20 Feb 2009, Ignacio Diaz-Emparanza wrote:
> I remember that in the time when I was using RATS, there was an
> interesting procedure "lagselect" which served to decide how to
> determine the lag. You can have a look at it in
> http://www.estima.com/procs_perl/500/lagselec.src
Thanks for t
El Friday 20 February 2009 03:54:50 Allin Cottrell escribió:
> On Wed, 18 Feb 2009, Olle Olsson wrote:
> > I can't find any reference in the manual about this so I'm
> > asking the question here: is anyone aware of literature on how
> > Gretl's automatic lag length selection for the ADF test perfor
Perhaps one should consider moving to the DF GLS (ERS) adjusted
statistic which has improved properties. The standard way to
implement an automatic lag selection procedure with this procedure
uses a modified AIC or SBC critereon. One can not use the current
method to determine an optimum lag when
On Wed, 18 Feb 2009, Olle Olsson wrote:
> I can't find any reference in the manual about this so I'm
> asking the question here: is anyone aware of literature on how
> Gretl's automatic lag length selection for the ADF test perform
> compared to lag selection by the AIC or BIC criteria?
I'm not a
Hello,
I can't find any reference in the manual about this som I'm asking the
question here: is anyone aware of literature on how Gretl's automatic lag
length selection for the ADF test perform compared to lag selection by the
AIC or BIC criteria?
Best regards
/Olle O, Uppsala, Sweden
Hello,I c
