Re: [Gretl-devel] ADF p-value glitch?
Am 05.11.18 um 19:11 schrieb oleg_komashko(a)ukr.net:
Dear Sven,
To reproduce the best GUI option
with a script, use
open wgmacro.gdt
y = log(income)
maxlag = 12*(nobs(y)/100)^0.25
adf maxlag y --c --ct --test-down
# now no signs of explosion
Oleh, that's not the point. It's just an example I came across where the
estimate is on the "wrong" side. It's clear that it doesn't happen very
often with actual data, but it can happen. I would be curious to hear
your opinion about what the correct p-value for a DF test (with as many
lags as you like) is when the test statistic is positive instead of
negative.
cheers,
sven
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