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statsmodels v0.12.2 statsmodels.tsa.ar_model.AutoRegResults.hqic

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statsmodels.tsa.ar_model.AutoRegResults.hqic¶

AutoRegResults.hqic¶

Hannan-Quinn Information Criterion using Lutkepohl’s definition.

$\ln(\sigma) + (1 + df_{model}) 2 \ln(\ln(nobs))/nobs$