[Gretl-devel] zero frequency unit root tests for quarter/monthly data: a need for new option?

Dear all, As it is clear from [Patterson, K. D. Unit root tests in time series, volume 1, 13.7] in the absence of seasonal unit roots, seasonality is just a particular case of autocorrelation, which is routinely dealt with including sufficient lags in ADF-type tests or sufficiently large window in PP-type tests. So, with the first generations tests we have two possibilities: include seasonal dummies, or set minimum lag length to ($pd-1) With tests having no include seasonal dummies option the second one is the only valid way to proceed. So, my proposition is to include option: set minimum lag length as ($pd-1) for zero frequency (i.e. usual, non-seasonal) unit root tests Oleh