[Gretl-users] ADF test

[john w]

Ok.
Thnx.


>From: Allin Cottrell <cottrell at wfu.edu>
>Reply-To: Gretl list <gretl-users at ricardo.ecn.wfu.edu>
>To: Gretl list <gretl-users at ricardo.ecn.wfu.edu>
>Subject: Re: [Gretl-users] ADF test
>Date: Thu, 16 Nov 2006 08:51:52 -0500 (EST)
>
>On Thu, 16 Nov 2006, john w wrote:
>
>>I tried to do ADF tests with and without Test down option. Using always 
>>the same variable.
>
>>Here are the results...
>
>(And the results differ for lag-order 0, depending on whether the test-down 
>option is used or the 0 value is entered as a fixed parameter.)
>
>I've found the bug: in the case of automatic testing down, if we got to the 
>point of just one lag remaining, and if this lag was not significant, it 
>wasn't actually deleted from the test model as should be.  The bug was 
>specific to the case where the lag order "wanted to go to zero"; in this 
>case the result from manually setting the order to 0 was correct, and the 
>result from automatic testing-down was wrong.
>
>This is now fixed in CVS and I'll put out a Windows snapshot shortly.
>
>Allin.
>_______________________________________________
>Gretl-users mailing list
>Gretl-users at ricardo.ecn.wfu.edu
>http://ricardo.ecn.wfu.edu/mailman/listinfo/gretl-users

_________________________________________________________________
The new Windows Live Toolbar helps you guard against viruses 
http://toolbar.live.com/?mkt=en-gb