Re: [Gretl-users] ADF lag length selection and normality of residuals?
El Tuesday 07 October 2008 18:52:52 Riccardo (Jack) Lucchetti escribió:
On Mon, 6 Oct 2008, Olle Olsson wrote:
> Hello,
>
> I'm doing some work with unit roots and cointegration applied to energy
> prices. Currently I've run into a bit of a dilemma regarding the choice
> of lag length for the Augmented Dickey Fuller tests for stationarity.
> The problem is, that for one of the tested variables, I don't get normal
> residuals regardless of how many lags I include in the ADF regression.
> Does anyone have any suggestions on how i should tackle this?
As far as I know, normality is not needed at all for the validity of the
asymptotics of the ADF test. Ignacio, can you confirm this?
Yes, the ADF test only needs iid errors.
Probably Olle Olsson is more worried about autocorrelation of residuals.
The ADF regression is based in a AR representation, if your series is better
modelled as a MA probably you will need a lot of AR lags to fit correctly
your series. How many observations do you have, Olle?
--
Ignacio Diaz-Emparanza
DEPARTAMENTO DE ECONOMÍA APLICADA III (ECONOMETRÍA Y ESTADÍSTICA)
UPV/EHU
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