Re: [Gretl-users] Unitroot ADF test p value

Am 05.07.2012 16:02, schrieb Allin Cottrell: > On Thu, 5 Jul 2012, JOSE FRANCISCO PERLES RIBES wrote: > >> I'm doing a unit root test ADF with Gretl on a series of tourism market >> share of Spain specified with constant and trend. >> By comparing the results with Eviews or R (package fUnitRoot) I get >> the same >> t-statistic, but although both programs indicate that the critical values >> are McKinnon (1996) MacKinnon, J. G. (1996) "Numerical distribution >> functions for unit root and cointegration tests", Journal of Applied >> Econometrics 11: 601-618. >> p-values of the test are very different in either case . >> Gretl: t = -3.62 p-value 0.02 asymptotic >> Eviews t = -3.62 p-value (one-sided) = 0.04 which is the same value >> obtained in R. > > You should find that if you do a non-augmented Dickey-Fuller test (no > lagged differences) the P-values given by gretl agree with those from > R's fUnitRoots package. If you run an augmented test, gretl > automatically gives the asymptotic P-value, while it appears that > fUnitRoots is giving the finite-sample value for the sample size used > (and I suppose Eviews is doing the same). I verified this on some > examples, using MacKinnon's urcdist program. > > I believe gretl is doing the right thing here. In his 1996 JAE article > MacKinnon says, "Since the finite-sample P-values are valid only for > non-augmented Dickey-Fuller tests, it is probably wise to ignore them > for ADF tests..." > I'm not sure if the conventional wisdom on this has changed after 1996, but this looks like a great example of how thoughtful even the details in gretl are. I very much doubt that R's fUnitRoots has a similar justification in the background, let alone Eviews, but it would be interesting to find out -- Jose, if you get an answer from those people, it would be nice if you could post it here as well. cheers, sven _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users