criteria.inp

# vers. 1.3 availabl in gretl
# public functions

function matrix criteria (scalar ess,
                          scalar n,
                          scalar k)
    if (ess <= 0 || k < 1 || n <= k)
        funcerr "We require ess > 0, k > 0 and n > k"
    endif
    matrix crit = zeros(1, 4)
    scalar logn = log(n)
    scalar llm = n * log(ess)
    llm += n * (log(2*$pi) + 1 - logn)
    crit[1] = llm + 2*k
    crit[2] = llm + k*logn
    crit[3] = llm + 2*k*log(logn)
    crit[4] = crit[1] + (2*k*(k+1)) / (n-k-1)
    printf "Using ess = %g, %d observations, %d coefficients\n", ess, n, k
    printf "\nAIC = %g\nBIC = %g\nHQC = %g\nAICc = %g\n\n", crit[1], crit[2], crit[3], crit[4]
    return crit
end function