Re: [Gretl-devel] adf and restricted samples
Patricio Cuarón schrieb:
Is it correct that ADF always uses the whole range instead of the
current sample?
I don't see that behavior here.
? smpl
Full data range: 2002:1 - 2008:4 (n = 28)
? smpl
Full data range: 2002:1 - 2008:4 (n = 28)
Current sample: 2004:1 - 2008:4 (n = 20)
here you're not showing what happened in between right?
? adf 8 log(salarios) --ct
My guess is that gretl's adf routine allows the initial values to be
taken from the pre-sample periods, if available. Since you have 8 lags
and by coincidence shorten the sample also by 8 obs, it looks as if
gretl is always using the full sample, but it really doesn't.
cheers,
sven