Re: [Gretl-devel] Suggestion for new unit root test formatting
Am 23.06.2015 um 15:10 schrieb Ignacio Diaz-Emparanza:
El 23/06/15 a las 14:39, Sven Schreiber escribió:
> "
>
> And my suggestion / after:
>
> "
> LRM: Augmented Dickey-Fuller test
> (H0: unit root, a = 1)
> -------------------------------------
> Test with constant
> â - 1 = -0.0591989
> Test stat tau_c(1) = -1.70189
> Asympt. p-value = 0.4303
> -------------------------------------
Actually this came out wrong in the list message, the numbers were
supposed to be aligned with tab stops.
I like to divide the results into two parts, because it makes more
visible the important things of the test. I would do two changes (but
they are only a matter of different tastes):
1) Put the line 'â - 1 = -0.0591989' after the Asymp.p-value, so
that the calculated tau statistic may be seen as the first number.
yes that makes sense
2) I liked to see the model: (1-L)y = b0 + (a-1)*y(-1) + ... + e I
think it is a quick way of seeing what is the structure of the estimated
model.
I have a split opinion on this one. For example, the notation "(1-L)" is
for insiders only (as it isn't defined in the current output, only in my
new suggestion by the explanation "differenced"). And somehow it looked
a little clunky to have this ASCII-coded equation.
But how about like this (but there's a problem, see below):
"
...
Test equation:
(1-L)LRM = b0 + (a-1)*LRM(-1) + ... + e
Dependent variable differenced: (1-L)LRM,
constant term,
lagged level with coefficient a - 1,
including 4 lagged differences
(exclusion test F(4, 44) = 4.290 [0.0051]).
Residual 1st-order autocorr = 0.075
Sample size = 50
--------------------------------------
"
Note that I have substituted the variable name "LRM" for the generic
"y". I think this is much better because "y" is another undefined
symbol
and has to be understood from this specific context which IMO adds a
layer of confusion. (Think about if you have another variable named "y"
in your dataset, but you're really testing x...)
However, this name substitution creates problems if the variable name is
long. Right now I don't know what to do about it... ?
thanks,
sven