Re: [Gretl-users] ADF result

On Thu, 4 Dec 2008, Sven Schreiber wrote: Thanks, Sven, I think I finally get it. We advertise an "ADF test with lag order p". Do we mean: A. A test regression that includes p lags of the dependent variable in that regression (namely, the first difference of the variable to be tested), OR B. A test appropriate for the alternative hypothesis that the variable in question follows an AR(p) process in its level rather than a random walk (so that the test regression should contain p-1 lags of the regressand) ? If I'm reading you right, you know that for gretl the answer is A (as indeed it is) but you doubt whether this is stated clearly enough. My feeling is that it's clear in the documentation, but if can you suggest an economical way of cementing the correct interpretation in the actual test output (and bearing in mind that some people will run tests with lag order 24, which is why we currently write "..." for the lags!), please do and I'll be happy to consider it for inclusion. Allin.