statsmodels.tools.eval_measures.hqic_sigma¶
-
statsmodels.tools.eval_measures.hqic_sigma(sigma2, nobs, df_modelwc, islog=
False)[source]¶ Hannan-Quinn information criterion (HQC).
- Parameters:¶
- sigma2
float estimate of the residual variance or determinant of Sigma_hat in the multivariate case. If islog is true, then it is assumed that sigma is already log-ed, for example logdetSigma.
- nobs
int number of observations
- df_modelwc
int number of parameters including constant
- islogbool
If True, sigma2 is already log-transformed.
- sigma2
- Returns:¶
- hqic
float information criterion
- hqic
Notes
A constant has been dropped in comparison to the loglikelihood base information criteria. These should be used to compare for comparable models.
References
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