Re: [Gretl-users] Saving ADF Residuals
On Wed, 7 Apr 2010, Henrique Andrade wrote:
Is it possible to save the residuals of the Augmented
Dickey-Fuller (ADF) test regressions? I would like to save them
to check if they follow a white noise process.
As matters stand, you have to formulate and run the ADF regression
yourself to get access to the residuals. This goes for all
auxiliary regressions run by gretl on behalf of diagnostic test
commands: they do not create "first-class" models from which you
could access $uhat, $ess and all the rest.
This seems OK to me: if you want to investigate "second-order"
aspects of the test that's fine, but you need to run the auxiliary
regression yourself. The built-in diagnostic commands are just
convenient short-cuts for procedures that are quite easily
scripted in gretl.
Allin Cottrell