Re: [Gretl-devel] Re: [Gretl-users] ADF result
Allin Cottrell schrieb:
On Fri, 5 Dec 2008, Sven Schreiber wrote:
> 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...
This looks a little complicated to me. How about replacing the
header, e.g.,
Augmented Dickey-Fuller tests, order 2, for IDE
sample size 53
unit-root null hypothesis: a = 1
with something like
Augmented Dickey-Fuller tests for IDE
including 2 lags of (1 - L)IDE
sample size 53
unit-root null hypothesis: a = 1
yes that's probably better
I still think (1-L) and (a-1) look better than (1 - L) and (a - 1), but
this is the last time I'm going to say so.
thanks,
sven