Re: [Gretl-devel] ADF p-value glitch?

Dear Sven, do  eval $test Since $test > 0 this is the only expected result H0: a series has unit root Most macro indicators have unit roots, the result is expected t-stats in ADF test under H0 has distribution which is a functional of the standard Wiener process, so Student's is irrelevant There are no such thing as two-sided ADF test The variant you used is by far not the best one Use GUI to auto-detect lag length To reproduce GUI version in script the default max lag length should be entered manually This example does not indicate any anomalities Oleh 5 листопада 2018, 18:09:59, від "Sven Schreiber" <svetosch(a)gmx.net&gt;: Am 05.11.18 um 16:53 schrieb Allin Cottrell: I'm not against it. (As I said from the beginning, p-values can be philosophically tricky, and one-sided tests, too.) However, this still leaves the wrong result of urcpval(0,0,1...). I think your definition also says it should be 1. Or to put it differently: The current output can only be justified with your definition if at the same time you consider explosive values (possibly far away from 1) as _less_ unfavorable to the unit root H0 than the H0 value of 1 itself. I don't think we'd want that. Right. I think that's an important difference with one-sided tests, where we cannot just focus on the null and forget about the rest. I mean, one _could_ do the whole thing as a two-sided test, also allowing explosion under the null. Obviously the null distribution would be asymmetric. But that would also affect the critical values to the left (stationary) side, because a part of the prob mass of the rejection region would have to be shifted to the right. (I'm not sure in the end / right now what gretl is actually doing effectively.) That is certainly wise. thanks, sven _______________________________________________ Gretl-devel mailing list Gretl-devel(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-devel