Re: [Gretl-devel] Suggestion for new unit root test formatting
On Tue, 23 Jun 2015, Ignacio Diaz-Emparanza wrote:
El 23/06/15 a las 15:44, Sven Schreiber escribió:
>
>
> 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
It is ok for me. And don't worry, I think Allin has a nice function for
cutting long names ;-)
Yes, there is such an internal function.
For now I've committed a minimal change to ADF output (without
prejudice to more radical change later): I've moved the supplementary
info (rho-hat for the residual and the joint significance of lagged
differences, if any) below the main output, namely the estimate of (a
- 1), the tau statistic and its p-value.
On the "(1-L)" notation in the model string, to which Sven raised an
objection: I'd be kinda surprised if someone executing a unit root
test didn't know 'L' as the lag operator in this context.
Allin