Hi,
now for something completely different: As I mentioned in passing at the
conference, I have received some (mild) complaints about the output of
the ADF test in gretl. And indeed I think the arrangement of the
information is suboptimal. So here's a concrete suggestion with
before-and-after [need to view this with monospaced font]:
Now / before:
"
Augmented Dickey-Fuller test for LRM
including 4 lags of (1-L)LRM
sample size 50
unit-root null hypothesis: a = 1
test with constant
model: (1-L)y = b0 + (a-1)*y(-1) + ... + e
1st-order autocorrelation coeff. for e: 0.075
lagged differences: F(4, 44) = 4.290 [0.0051]
estimated value of (a - 1): -0.0591989
test statistic: tau_c(1) = -1.70189
asymptotic p-value 0.4303
"
And my suggestion / after:
"
LRM: Augmented Dickey-Fuller test
(H0: unit root, a = 1)
-------------------------------------
Test with constant
รข - 1 = -0.0591989
Test stat tau_c(1) = -1.70189
Asympt. p-value = 0.4303
-------------------------------------
Test equation:
Dependent variable differenced: (1-L)LRM,
lagged level with coefficient a - 1,
including 4 lagged differences
(exclusion test F(4, 44) = 4.290 [0.0051]),
and constant term.
Residual 1st-order autocorr = 0.075
Sample size = 50
--------------------------------------
"
Now I'm not saying my suggestion is optimal, but I do think it would be
an improvement. If somebody directs me to the right places in the
source, I could try to make the corresponding changes.
What do you think?
cheers,
sven