[Gretl-users] ADF result

Sven Schreiber svetosch at gmx.net
Thu Dec 4 09:22:27 EST 2008


I'm not quite sure what the reasons for your recommendation are, the
point here was something different. The ADF test functionality as such
is of course present in gretl.

Having said that, however, I just noticed that in the ADF test
specification and output it's not 100% obvious (at least to me) whether
the lag order refers to right-hand levels or differences. I would
suggest that at least in the output this should be clarified. (It could
be in the manual, I haven't checked right now, but in any case it should
be self-explanatory IMHO.)


Am 04.12.2008 15:13, Hebert Suarez Cahuana schrieb:
> I recomend use Eviews, stata or other program for this, or use  tables
> of critical values of MacKinnon, see Wooldridge "Introductory Econometrics.
>  Greetings
> Hebert Suarez
> Peru
> On Sun, 30 Nov 2008 06:59:46 -0500, Sven Schreiber <svetosch at gmx.net>
> wrote:
>> Am 30.11.2008 12:27, Charles Ward schrieb:
>>> I ran a ADF test in gretl and in R.
>>> (The regression was no constant, LNEG lagged once, d_LNEG lag1 and
>>> d_LNEG lag2)
>>> In gretl and R, the results were for most purposes identical for all
>>> numbers for Z and d_LNEG lag 1
>>> In gretl the results for d_LNEG lag2 were
>>>                     coefficient   std. error   t-ratio   p-value
>>> d_LNEG_2   -0.470623     0.126295     -3.726    0.2006
>>> But in R the results were
>>> z.diff.lag2      -0.47062      0.12629       -3.726    0.00053
>>> Which is correct?
>> If I understand correctly, you implemented the ADF test manually by
>> running the appropriate OLS regression?
>> Then, unless I'm missing something, the distribution for the lagged
>> differences would be standard and a t-ratio of -3.7 most definitely
>> wouldn't give you a p-value of 0.20. So gretl would be wrong here, but I
>> don't know the reason.
>> good luck,
>> sven
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