On Mon, 1 Oct 2012, Henrique Andrade wrote: > I think when Gretls does the VAR lag selection tests, it > restricts the sample in order to guarantee that all the > estimations could use the same sample. > > That said, when you estimate a 1 lagged VAR the criteria > you see on the test results window differs from the criteria > that you see on the estimated VAR window.
Right: the VAR lag selection command uses a common sample size, but the sample range used with the regular "var" command will depend on the number of lags specified. As a further comment, if the results differ substantially in the two cases, that suggests that either (a) the sample is too small for reliable inference or (b) the data are heterogenous in a way that is not accounted for in the model specification. Either way it's a warning flag. Allin Cottrell
