[Gretl-users] ADF result

Allin Cottrell cottrell at wfu.edu
Thu Dec 4 17:20:37 EST 2008


On Thu, 4 Dec 2008, Sven Schreiber wrote:

> Please guys, there are different conventions out there about
> whether lag order refers to levels or differences in the
> unit-root/cointegration context. Believe me, I know what I'm
> talking about here...

I believe you!  Sorry to make a meal out of this, but is this the
question that needs clarification, then: When gretl says the lag
order is, say, 3, does that mean the ADF regression contains 3 or
2 lags of \tilde y, where \tilde y is the dependent var in the
DF regression?

Allin.


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