Re: [Gretl-devel] ADF p-value glitch? CHECK against R script

Dear Sven, to compare run in R (Rgretl (0.22) and urca (last) shoul be installed <R> library(Rgretl) library(urca) wgmacro = open_gdt("wgmacro") l_income = log(wgmacro$income) tau = ur.df(l_income, type = "trend",lags=0)@teststat tau3 = tau[1] pvalue = punitroot(tau3, N = length(l_income), trend = "ct", statistic = "t") grscr = 'open wgmacro.gdt -q adf 0 log(income) --ct -q matrix test = $test matrix pval = urcpval($test, $nobs, 1, 3) ' gradf = run_grcli(grscr,output=list(matr=c("test","pval"))) # checking abs(tau3 - gradf$test) # tau-stat abs(pvalue - gradf$pval) #p-values <R> Oleh 5 листопада 2018, 21:43:33, від "Sven Schreiber" <svetosch(a)gmx.net&gt;: Am 05.11.18 um 20:27 schrieb Allin Cottrell: Thanks for checking, this is interesting of course. I will look around a little bit for example in Stata user forums if there has been a discussion about this issue. So far I still think it's wrong. I still don't think p-values are meant for this interpretation. I guess the most glaring incarnation of my problem with this is the case where your estimate happens to be right at H0: bhat = b_0. (A probability-zero event I know, but a useful thought experiment nonetheless.) How can you _not_ have a p-value =1 in this case?? Otherwise it's possible in principle to reject the null when the point estimate is identical to the null value. This makes no sense to me. thanks, sven _______________________________________________ Gretl-devel mailing list Gretl-devel(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-devel