Re: [Gretl-users] sorry, learning hansl question

The original goal ws this: via hansl, feed 1 dependent variable and a list of independent variables to kpss depending on the output of kpss, use either the variable in its levels or filtered by first difference so can the ols paramaters be built up like a string? or as items in a list? str='' kpss 3 63 if $testvalue < $pvalue: str += 63 else str += 98 # the first differenced form of 63 kpss 3 32 if $testvalue < $pvalue: str += 32 else str += 67 # the first differenced form of 32 ols str On Sat, May 17, 2014 at 4:19 PM, Riccardo (Jack) Lucchetti <r.lucchetti(a)univpm.it&gt; wrote: > On Sat, 17 May 2014, Tim Nall wrote: > >> OK, this is great so far, but one prob: >> >> The gretl documentation says that the interpolated p-value for kpss >> "should not be taken too seriously". So I have the test value... and >> now I want to compare that to the *critical value* at the 5% level ... >> I want to compare 0.403951 (which I know how to access) to 0.473 (see >> output below): >> >> T = 40 >> Lag truncation parameter = 3 >> Test statistic = 0.403951 >> >> 10% 5% 1% >> Critical values: 0.352 0.473 0.719 >> Interpolated p-value 0.079 > > > "Serisously" perhaps is too strong a word here. What we mean is that we are > not aware of an algorithm which will give you exact p-values for the KPSS > test, so we rely on linear interpolation, banking on the fact that the > p-value function is monotone by definition. Certainly, the p-value for > 0.403951 is between 10% and 5%, and I would be very surprised if it turned > out to be very different from 8%. > > ------------------------------------------------------- > Riccardo (Jack) Lucchetti > Dipartimento di Scienze Economiche e Sociali (DiSES) > > Università Politecnica delle Marche > (formerly known as Università di Ancona) > > r.lucchetti(a)univpm.it > http://www2.econ.univpm.it/servizi/hpp/lucchetti > ------------------------------------------------------- > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users -- Best regards, Timothy M. Nall Assistant Professor National Quemoy University Kinmen, Taiwan