Re: [Gretl-users] MacKinnon critical values
On Tue, 14 Aug 2012, Alessia Via wrote:
I'm testing a time series with the ADF unit root test and
according to
Gretl I have to conmpare the value of the tau-statistic with
MacKinnon's critical values (to reject/accept the null of the presence
of a unit root)...
Gretl prints out the p-value based on MacKinnon's approximation to
the distribution of these statistics. You don't have to do anything,
just know what a p-value is.
Allin Cottrell