statsmodels.tools.eval_measures.hqic_sigma

statsmodels.tools.eval_measures.hqic_sigma(sigma2, nobs, df_modelwc, islog=False)

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

Returns:

hqic – information criterion

Return type:

float

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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