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

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