Re: [Gretl-devel] two issues
On Sat, 9 Jul 2011, Sven Schreiber wrote:
two questions/comments:
Why isn't it possible to specify seasonal dummies for the KPSS test?
Are we assured that the distribution of the test statistic is
invariant with respect to seasonal dummies?
And secondly, when applying omission restrictions to OLS the message
about the information criteria seems to be wrong -- this could be a
translation error, I will check that, but mentioning it here just in case.
The English message is correct, I'm not sure about translations.
Example:
open data4-10
ols 1 0 2 3 4 5 6
omit 5 6
The omit command produces:
Test statistic: F(2, 45) = 0.66365, with p-value = 0.519935
Of the 3 model selection statistics, 3 have improved.
That is, the omission of variables 5 and 6 has improved (i.e.
reduced the values of -- see chapter 21 of the User's Guide) all
three model selection criteria. This is easily verified by
inspection of the printouts.
Allin