Re: [Gretl-devel] ADF p-value glitch?

R has another version adf.test {tseries} which does have "two-sided" alternative I think somebody can reproduce it in a package As for me, gretl has excellent correspondence with most popular textbooks I use gretl for unit roots even in my R classes I even do not know where explosive processes is used even in PhD courses Oleh 6 листопада 2018, 00:34:59, від "Allin Cottrell" <cottrell(a)wfu.edu&gt;: On Mon, 5 Nov 2018, Sven Schreiber wrote: Summary, from my point of view: We're now clear that gretl is not ignoring the sign of the test statistic, and is doing what R, Stata and Eviews also do, namely reporting an estimate of the CDF of the relevant distribution evaluated at the observed test statistic. Although I think this convention is too strong to be bucked, I do think that Sven has a point. It's not specific to ADF tests, but pertains more generally to p-values for one-sided tests. It's not clear to me that p-values are well defined for values of the test statistic that are not at all adverse to the null -- unless there's unique such value, as in a two-sided test, in which case we say it has a p-value of 1 (the estimate coincides precisely with the claim made by the null). Allin _______________________________________________ Gretl-devel mailing list Gretl-devel(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-devel