Re: [Gretl-users] test-down option reports different results in adf

Dear Allin, I am sorry that the two lines I sent in my original post do not replicate the issue in the current snapshot as they were run in an older gretl where MAIC was used as the test-down criteria and selected a smaller lag value for test-down in LRM. Sven explained my point perfectly. If you run ADF for LRY (not LRM) as follows, you'll notice that AIC below the regression output is different from the AIC for k=0 in the test-down procedure. This is because the regression is run on the full-sample whereas the test-down is done for the lag 5 compatible sample.