From cottrell@wfu.edu Tue Oct 12 21:37:22 2010
From: Allin Cottrell <cottrell@wfu.edu>
To: gretl-devel@gretlml.univpm.it
Subject: Re: [Gretl-devel] Bug in adf --gls?
Date: Tue, 12 Oct 2010 21:37:22 -0400
Message-ID: <Pine.A41.4.58.1010122135400.327920@f1n11.sp2net.wfu.edu>
In-Reply-To: 28744_1286904330_o9CHPTQo029264_4CB499FB.3060801@wrzosy.nsb.pl
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On Tue, 12 Oct 2010, Marcin B�^Bażejowski wrote:

> simple script:
>
> <script>
> nulldata 1000
> setobs 1 1 --time-series
> set echo off
>
> scalar ADF = 0
> scalar ADFGLS = 0
>
> scalar N = 1000
>
> loop N --quiet
>      smpl --full
>
>      series y = 10
>      series szum = normal(0,1)
>
>      genr y = 0.1*y(-1) + szum #generating AR(1) with AR-coefficient 0.1
>
>      smpl 200 1000
>      adf 1 y --quiet
>      ADF += ($pvalue>0.1?1:0)
>      adf 1 y --quiet --gls
>      ADFGLS += ($pvalue>0.1?1:0)
> end loop
>
> printf "\nPercentage of non-rejecting false H0:\n"
> printf "adf:\t\t%.1f\n", 100*ADF/N
> printf "adf-gls:\t%.1f\n", 100*ADFGLS/N
> </script>
>
> I've expected 0.0% two times, but percentage of non-rejecting H0 in case
> of "--gls" surprised me...

There is something funny going on here, yes. You can expect a
proper answer before long.

Allin


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