Re: [Gretl-users] LW estimator and the GPH test
Reading "Tanaka - The nonstationary fractional unit root" (1999) will help you
--> see http://hermes-ir.lib.hit-u.ac.jp/rs/bitstream/10086/13409/1/0100701301.pdf
But the power of the LWE and GPH is very low in comparison to Robinson's Lagrange
Multiplier Test or Lobato's Efficient Wald Test...
don't forget to difference the time series because the tests in gretl are only valid
for stationary data.
Regards
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