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