On Fri, Jul 25, 2025 at 9:53 AM Sven Schreiber
<sven.schrei...@fu-berlin.de> wrote:
>
> I'm looking at some related code in git, leading to some questions
> (although not directly related to the reported failure yet).
>
> In lib/src/compare.c there's auto_drop_var around line 1511. In that
> function, it seems that a first loop picks the candidate variable to be
> dropped, and always by looking at the minimal t-stat. (if (tstat < tmin)
> and so on.) Only _afterwards_ does the choice of using an info criterion
> come into play. (Below, where: "... else { /* using an info criterion */
> ...")
>
> I can understand why one wants to focus on a candidate variable in each
> round, but doesn't that contradict the documentation of omit --auto:
> 'The “best” candidate at each step is then that whose omission gives the
> greatest improvement (reduction) in the selected criterion.' ??BIC = -2 * loglik + k * log(n) The sample size, n, is a constant in context, and dropping any regressor will reduce k by 1. All that matters for the comparison of candidates is the least squares loglikelihood, and the SSR is only variable in that calculation. Omitting the regressor with the smallest absolute t-ratio will produce the smallest possible increase in the SSR, and hence the best post-omission BIC. Allin _______________________________________________ Gretl-devel mailing list -- gretl-devel@gretlml.univpm.it To unsubscribe send an email to gretl-devel-le...@gretlml.univpm.it Website: https://gretlml.univpm.it/postorius/lists/gretl-devel.gretlml.univpm.it/
