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
- sigma2float
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.
- nobsint
number of observations
- df_modelwcint
number of parameters including constant
- Returns
- hqicfloat
information criterion
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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