[Gretl-users] ADF

[Allin Cottrell]

On Thu, 14 Dec 2006, javier garcia enriquez wrote:

>  Could you tell me which criterion follows the ADF test to 
> select the size of 'p' automatically? Is the Akaike criterio?

That's explained in the help entry for adf, as follows:

If the lag order, k, is greater than 0, then k lags of the 
dependent variable are included on the right-hand side of the test 
regressions, subject to the following qualification. If the 
--test-down option is given, k is taken as the maximum lag and the 
actual lag order used is obtained by testing down, using this 
algorithm:

1. Estimate the Dickey-Fuller regression with k lags of the 
dependent variable.

2. Is the last lag significant? If so, execute the test with lag 
order k. Otherwise, let k = k - 1; if k equals 0, execute the test 
with lag order 0, else go to step 1.

In the context of step 2 above, "significant" means that the 
t-statistic for the last lag has an asymptotic two-sided p-value, 
against the normal distribution, of 0.10 or less.

Allin Cottrell