Re: [Gretl-devel] ADF p-value glitch?
On Mon, 5 Nov 2018, Sven Schreiber wrote:
Am 05.11.18 um 16:53 schrieb Allin Cottrell:
> But before changing gretl's behavior I'd want to take a look at what other
> software does in this sort of case.
>
That is certainly wise.
"Everyone" (well, so far R and Stata) gives just what we do, namely
the cdf of the tau (or other relevant) distribution evaluated at the
observed statistic. So for tau > 0 the quoted p-values are close to
but less than 1.0.
My specific comparisons were with adf.test and pp.test in R (tseries)
and "dfuller" in Stata.
I don't think we want to go out on a limb on this point. Also, I think
it's possible to give a coherent interpretation of those p-values
close to but short of 1: namely, it's not _impossible_ that you could
get a positive tau in a finite sample even if the series in question
were stationary -- just very unlikely.
Allin