[Gretl-devel] Re: ADF-GLS test question
On Tue, 3 Sep 2019, Sven Schreiber wrote:
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.
Yes, that struck me too. Right now I'm trying to determine if
Peter's suspicion on that point is well-founded or not.
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.
Agreed.
Allin