Dear Gretl Team,
I would like to share with you some thoughts about the automatic creation of series in Gretl. The first point I would like to address is apparently inofensive.
When we perform ADF and KPSS tests we see a different Gretl's behavior. To ilustrate this, please use the "australia.gdt" data.
# First case: ADF test
adf 4 E --difference --test-down
No variable is created.
# Second case: KPSS test
kpss 4 E --difference
The variable d_E is created.
The second point is a little bit more "dangerous". Yet using the "australia.gdt" data, please perform this script:
<hansl>
open australia.gdt
"Teste 1" <- ols E const PAU PAU(-1) PAU(-2) E(-1) E(-2)
print PAU* --byobs
series PAU = 0
print PAU* --byobs
</hansl>
One can observe that "PAU(-1)", and "PAU(-2)" are not equal to zero, what, in my humble opinion, is not a desirable behavior.
In my humble opinion (again), the variables "PAU(-1)" and "PAU(-2)" are not new ones, they are just elements of the vector "PAU". I know this is not a consensus, but it is not the most important part of my explanation [:-)] So let's continue...
Now try this new regression:
<hansl>
"Teste 2" <- ols E const PAU PAU(-1) PAU(-2) E(-1) E(-2)
print PAU* --byobs
</hansl>
Now Gretl tells that "PAU", "PAU(-1)", and "PAU(-2)" are all equal to zero.
I noticed this "problem" when colleagues, working with a Gretl session file (.gretl), here from my work tried to make all the values of a specific variable equal zero to check the sensitivity of their model and Gretl did not behaved well. What they tried was something like that:
# Regress X against its lagged values and Y:
X(t) = b0 + b1*X(t-1) + b2*X(t-2) + b3*Y(t)
# Set all X values to zero:
X(t) = 0
# Regress X again:
X(t) = b0 + b1*X(t-1) + b2*X(t-2) + b3*Y(t)
I believe the expected behavior is to make X(t)=X(t-1)=X(t-2)=0, but Gretl didn't make that. So they get exactly the same results on the two exercises.
I'm really afraid that my English skills combined with the difficult of describe this situation (even in Portuguese [:-)]), so I attached a script file with the complete example.
Best regards,
Henrique Andrade