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.