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@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