[Gretl-devel] Re: CRASH: panel-ADF in 1st differences

On Mon, 1 Jun 2026, Artur T. wrote: > Sorry for capturing this thread for another thing: > > 1. It's not clear to me whether setting the lag to "-1" in the panel > case also yields the optimal lag selection according to Schwert > (1989). I am unsure as there is a separate "Panel data" section but > nothing is mentioned about this. Actually, the same question arises > for the "--test-down" option. Hmm, no, the Schwert rule was not being applied in the panel case; instead -1 was just being "translated" to 1. That's now fixed, but with a caveat. The time-dimension of panel datasets is often quite short, and if we apply Schwert's L_{12} rule unmodified it's quite likely that the ratio of observations to lags will be too small to compute the Im-Pesaram-Shin statistics. For now I've put in a debatable hack: we compute the L_{12} lag order, but if the dataset is a panel with T < 24 we actually take the lag as the minimum of the L_{12} value and 4. The --test-down option works fine with panel data. I've made some improvements to the adf doc and to the working of the --verbose option. Specifically, if you want to see exactly what's going on in the panel case, you can give --verbose=max.