[Gretl-users] ADF result

Allin Cottrell cottrell at wfu.edu
Thu Dec 4 15:28:34 EST 2008


On Thu, 4 Dec 2008, Sven Schreiber wrote:

> 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.)

It's explicit in section 20.3 of the manual.  The wording in the
command help refers to "lags of the dependent variable", and this
phrase appears under an equation which shows (1 - L)y_t as the
dependent variable in the test regression, which in turn is
prefaced by the statement, "In all cases the dependent variable is
the first difference of the specified variable, y".

So I'd say it's reasonably clear -- given, also, that surely
that's what everyone would expect?

Allin


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