Re: [Gretl-users] ADF result
On Sun, 30 Nov 2008, Charles Ward wrote:
I ran a ADF test in gretl and in R.
(The regression was no constant, LNEG lagged once, d_LNEG lag1 and d_LNEG
lag2)
In gretl and R, the results were for most purposes identical for all numbers
for Z and d_LNEG lag 1
In gretl the results for d_LNEG lag2 were
coefficient std. error t-ratio p-value
d_LNEG_2 -0.470623 0.126295 -3.726 0.2006
But in R the results were
z.diff.lag2 -0.47062 0.12629 -3.726 0.00053
Which is correct?
Thank you for spotting this. The p-value given by gretl for the
second lag of LNEG was incorrect: in fact it was the Dickey-Fuller
p-value for the first lag of LNEG, printed in the wrong place.
This is now corrected in CVS and the Windows snapshot at
http://ricardo.ecn.wfu.edu/pub/gretl/gretl_install.exe
Allin Cottrell