Re: [Gretl-users] counting

Artur T. schrieb: > Allin Cottrell schrieb: > >> On Sat, 2 Jan 2010, Artur T. wrote: >> >> >> >>> I programmed the following loop and wanted to count how often the null >>> is rejected for the ADF test. Unfortunately I do not know whether there >>> is a simple function for this. >>> >>> loop 1000 --progressive --quiet >>> genr a = 10*uniform() >>> genr y = 1*a + normal() >>> alpha = 0.99 >>> genr y = alpha*y(-1) + normal() >>> adf 1 y --nc --quiet >>> genr pv = $pvalue >>> print pv >>> store coeffs.gdt pv >>> endloop >>> >>> >> <script> >> nulldata 100 # or whatever >> scalar alpha = 0.99 >> scalar level = 0.05 # or whatever >> scalar reject = 0 >> scalar replics = 1000 >> loop replics --progressive --quiet >> genr a = 10*uniform() >> genr y = 1*a + normal() >> genr y = alpha*y(-1) + normal() >> adf 1 y --nc --quiet >> genr pv = $pvalue >> reject += (pv < level) >> print pv >> store pvals.gdt pv >> endloop >> >> printf "rejections = %d (%.2f%%)\n", reject, 100*reject/replics >> </script> >> >> >From running this a few times, it looks as if this test is >> over-rejecting quite seriously (if I'm interpreting the results >> correctly). I'll look into this further. >> >> Allin. >> _______________________________________________ >> Gretl-users mailing list >> Gretl-users(a)lists.wfu.edu >> http://lists.wfu.edu/mailman/listinfo/gretl-users >> >> > Thanks for all the versions - they all do their job properly. > > @Allin > I was also surprised how often the null is rejected. But actually, as is > known, the result depends heavily on the number of observations and how > close %alpha is to the unit. > > What actually are you trying to analyze? Are you aware that the adf test with --nc is mis-specified, or is this the whole point? cheers, sven _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users