On 21/11/2023 19:36, Artur T. wrote:
Hi,
Many years ago Jack and I (the clever part came from Jack) came up with
this for an ARDL model:
https://github.com/atecon/ardl_bruteforce_lagselection
The main code is in the script: brute_force.inp
You have to call that script via the "include" command as shown in the
sample script: sample_script.inp
What Artur posted is quite sophisticated: if you want something that
cuts the logic to its bare bones and makes it easier (well, it's a
matter of taste) to follow what's going on, you may want to study the
script below:
<hansl>
set verbose off
open denmark.gdt --quiet
scalar maxlag = 4
list ALL = LRM LRY IBO IDE # dep. var. must come first
s = seq(0, maxlag)'
matrix c = s
loop i = 2 .. nelem(ALL)
n = rows(c)
c = (c ** ones(maxlag+1,1)) ~ (ones(n,1) ** s)
endloop
smpl +maxlag ;
matrix mX = ALL
mincrit = $huge
loop i = 1 .. rows(c)
list Z = deflist()
loop j = 1 .. nelem(ALL)
l = c[i,j]
first = -(j==1)
if !first || (l > 0)
list H = mX[j]
list Z += H(first to -l)
endif
endloop
ols LRM const Z --quiet
if $bic < mincrit
best = Z
mincrit = $bic
endif
endloop
print mincrit
depvar = ALL[1]
ols depvar const best
</hansl>
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucche...@univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
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