Re: [Gretl-devel] Bug in adf --gls?
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