Re: [Gretl-devel] Suggestion for new unit root test formatting
Am 23.06.2015 um 17:06 schrieb Allin Cottrell:
For now I've committed a minimal change to ADF output (without prejudice
to more radical change later): I've moved the supplementary info
(rho-hat for the residual and the joint significance of lagged
differences, if any) below the main output, namely the estimate of (a -
1), the tau statistic and its p-value.
Thanks Allin, I still have the more radical formatting on my to-do-list.
I guess it'll take some time to become acquainted with the way printout
is set up in the source, so I cannot do this right away, but will try.
On the "(1-L)" notation in the model string, to which Sven raised an
objection: I'd be kinda surprised if someone executing a unit root test
didn't know 'L' as the lag operator in this context.
Well, I'd say that using \Delta is more common for applied research, and
instead of L^p x_t we write x_{t-p} more often, don't we?
But I agree that the L is not a big problem there. Using the undefined
"y" is more confusing IMO.
thanks,
sven