Re: [Gretl-users] Sample size and ADF test in gretl and R

On Mon, 20 Feb 2012, Grzegorz Konat wrote: > I have a minor question concerning how sample size affects > ADF unit root test results in gretl and other econometric > software. > > Let me give you an example: > > I have a series of T=51, for which ADF test results are all the same in > gretl, R (urca) and JMulTi. Yet when I use a subsample of T=20 (last twenty > observations), test statistics obtained with gretl are significantly > different from those of R and JMulTi (both the latter, however, produce the > same output). Of course, I use the same deterministic term option and lag > lenght for those comparisons. If you do, for example, smpl 1991 2010 in gretl, the effect is that gretl will start _estimation_ in 1991. However, if the model contains lags and the lagged terms are available for dates prior to 1991, the earlier terms will be used as needed. If you want the effect of "blanking out" all data prior to 1991 (which means that estimation of a model with lags will have to start at a later data), you'll have to advance the start of the sample range further. E.g. your model contains 3 lags -> start the sample in 1994. Allin Cottrell _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users