[Gretl-devel] Re: ADF-GLS test question
Am 03.09.2019 um 21:48 schrieb Allin Cottrell:
I recently got an email from Peter Sephton (he of the critical values
for the KPSS test) raising a question about our implementation of the
ADF-GLS test.
It appears GRETL doesn’t do the search for the optimal lag length over
a common period.
If this is true, then I think it's a problem. How the GLS-detrending
enters the picture I don't know right now, but in a way it could be
irrelevant for the fact that it remains a problem.
cheers
sven