simple script: <script> nulldata 1000 setobs 1 1 --time-series set echo off scalar ADF = 0 scalar ADFGLS = 0 scalar N = 1000 loop N --quiet smpl --full series y = 10 series szum = normal(0,1) genr y = 0.1*y(-1) + szum #generating AR(1) with AR-coefficient 0.1 smpl 200 1000 adf 1 y --quiet ADF += ($pvalue>0.1?1:0) adf 1 y --quiet --gls ADFGLS += ($pvalue>0.1?1:0) end loop printf "\nPercentage of non-rejecting false H0:\n" printf "adf:\t\t%.1f\n", 100*ADF/N printf "adf-gls:\t%.1f\n", 100*ADFGLS/N </script> I've expected 0.0% two times, but percentage of non-rejecting H0 in case of "--gls" surprised me...