However, Stata has an option that allows you to automatically select information criterion (bic) or Hannan-Quinn information criterion (hqic). Three commonly used are: Schwarz's Bayesian information criterion (SBIC), the Akaike's information criterion (AIC), and the Hannan and Quinn. Hannan-Quinn information criterion (HQC) created by Edward J. you can easily calculate these statistics in STATA after estimation with the. xtregam not like official Stata command xtreg in weight option, xtregam can use Log SC - Amemiya Prediction Criterion () FPE - Hannan-Quinn Criterion. varsoc reports the final prediction error (FPE), Akaike's information criterion (AIC), Schwarz's. Bayesian information criterion (SBIC), and the Hannan and Quinn. To, [email protected] Subject, st: Hannan-Quinn Criterion for nonstationary series. Date, Tue, 08 Feb + diagreg2 computes 2SLS-IV Model Selection Diagnostic Criteria for () Log SC - Amemiya Prediction Criterion () FPE - Hannan-Quinn Criterion () Results of using noconexog option are identical to Stata ivregress and ivreg2. use "adopteesofcolor.org~otorres/Stata/adopteesofcolor.org", clear drop date1 date2 rename .. Hannan and Quinn information criterion (HQIC). All these are reported. Sean, I would think you would be able to use -varsoc- for each cross-section to find the optimal lag length. Below, is an example where -varsoc-. In statistics, the Hannan–Quinn information criterion (HQC) is a criterion for model selection. It is an alternative to Akaike information criterion (AIC) and Bayesian.