[Gretl-devel] Re: CRASH: panel-ADF in 1st differences
Am Montag, dem 01.06.2026 um 11:02 -0400 schrieb Cottrell, Allin:
On Mon, Jun 1, 2026 at 5:03 AM Artur T.
<artur.tarassow(a)gmail.com> wrote:
>
> I've just encountered a crash when calling the "--difference" option
for the
> "adf" command in a panel-setting (no crash in a time-series setting,
> though).
>
> Here is a sample script:
>
> <hansl>
> set verbose off
> open grunfeld.gdt --quiet
>
> # in levels -> WORKS
> adf -1 invest --ct
>
> # 1st differences -> CRASH
> adf -1 invest --c --difference
> </hansl>
Thanks for the report, Artur. That problem is now fixed in git;
snapshots will follow.
Thank you for the quick fix, Allin! I can confirm that it works.
Sorry for capturing this thread for another thing:
1. It's not clear to me whether setting the lag to "-1" in the panel case
also
yields the optimal lag selection according to Schwert (1989). I am unsure as
there is a separate "Panel data" section but nothing is mentioned about this.
Actually, the same question arises for the "--test-down" option.
Best
Artur
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