[Gretl-devel] Re: [Gretl-users] ADF result
[moving this over to the devel list]
Allin Cottrell schrieb:
If I'm reading you right, you know that for gretl the answer is A
(as indeed it is) but you doubt whether this is stated clearly
enough.
Yes, that's exactly what I mean.
My feeling is that it's clear in the documentation, but if can
you
suggest an economical way of cementing the correct interpretation
in the actual test output (and bearing in mind that some people
will run tests with lag order 24, which is why we currently write
"..." for the lags!), please do and I'll be happy to consider it
for inclusion.
Ok, for comparison here's the current output of an ADF test:
Erweiterte Dickey-Fuller-Tests, Ordnung 1, für PAU
Stichprobengröße 75
Nullhypothese Einheitswurzel: a = 1
Test mit Konstante
Modell: (1 - L)y = b0 + (a-1)*y(-1) + ... + e
Autokorrelationskoeff. 1. Ordnung für e: -0.015
geschätzter Wert für (a - 1): 0.0113244
Teststatistik: tau_c(1) = 3.82463
asymptotischer p-Wert 1
How about changing the model ("Modell") line just a little bit:
Modell:
(1-L)y = b + (a-1)*y(-1) + ... + a_[lag order]*(1-L)y(-[lag order]) + e
That way it's absolutely clear that the order refers to the lagged
differences. BTW, I removed the blanks from (1 - L) and changed b0 to b
on purpose, but of course that's just cosmetic.
Talking about cosmetics: maybe the recent reformatting of a model's
output should also be done here? I mean something like:
Test mit Konstante
Modell: (1-L)y = b + (a-1)*y(-1) +...+ a_1*(1-L)y(-1) + e
Autokorr'koeff. 1. Ordnung für e: -0.015
geschätzter Wert für (a-1): 0.0113244
Teststatistik: tau_c(1) = 3.82463
asymptotischer p-Wert: 1
Of course all this is just a first shot, not perfectly thought through.
thanks,
sven