On Wed, 21 Mar 2012, Henrique Andrade wrote:
I would like to share with you some thoughts about the automatic
of series in Gretl. The first point I would like to address is apparently
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.
Agreed, that's inconsistent: if we're going to delete any
automatically created lags with the adf command we should do
the same for kpss. That is now fixed in CVS (or will be real
The second point is a little bit more "dangerous". Yet
"australia.gdt" data, please perform this script:
"Teste 1" <- ols E const PAU PAU(-1) PAU(-2) E(-1) E(-2)
print PAU* --byobs
series PAU = 0
print PAU* --byobs
One can observe that "PAU(-1)", and "PAU(-2)" are not equal to zero,
in my humble opinion, is not a desirable behavior.
OK, this is a bit subtle, and should be clearly documented
somewhere, but here goes...
1) When you issue a command such as
ols E const PAU PAU(-1) PAU(-2) E(-1) E(-2)
[note: using the notation "varname(-lag)"] this results in the
automatic creation of series whose names are "PAU_1", "PAU_2"
and so on.
2) These named series are "hard-wired" in the sense that if
you change the definition of PAU, PAU_1 and so on are not
3) So if you say
you're going to see your redefined PAU along with the original
values of the series PAU_*.
4) However, if in any subsequent command you again use the
notation "varname(-lag)" (not "varname_lag") you will get lags
updated to match the redefined parent series. For example,
print PAU PAU(-1) PAU(-2)
So: the notation "x(-p)" says to gretl "give me lag p of
series x, as x is currently defined", whereas the notation
"x_p" simply says "give me the series named x_p".
5) When you use the "x(-p)" notation, a side effect is that
the series named x_p is updated (if need be).