Re: [Gretl-users] test-down option reports different results in adf

On Thu, 4 Jun 2015, Koray Simsek wrote: > Dear Allin, > > I am sorry that the two lines I sent in my original post do not replicate > the issue in the current snapshot as they were run in an older gretl > where > MAIC was used as the test-down criteria and selected a smaller lag value > for test-down in LRM. > > Sven explained my point perfectly. If you run ADF for LRY (not LRM) as > follows, you'll notice that AIC below the regression output is different > from the AIC for k=0 in the test-down procedure. This is because the > regression is run on the full-sample whereas the test-down is done for > the > lag 5 compatible sample. OK, thanks, now I see. This should be fixed in current CVS and snapshots.