Re: [Gretl-users] Lag Order for ADF Test
That´s an amazing idea. I would love to use it with Gretl with my
undergraduate students.
On Thu, Mar 17, 2011 at 8:35 PM, Henrique Andrade <henrique.coelho(a)gmail.com
wrote:
Dear Gretl Team,
I would suggest a change in the ADF test (through the GUI). When Gretl asks
for the lag order I think it would be nice to put a default value for the
lag order (also leaving the option "test down from maximum lag order")
selected by default.
Looking at EViews (ADF test) and R (Phillips-Perron test), I'd discovered
that they use the following default, as suggested by Schwert (Tests for Unit
Roots: A Monte Carlo Investigation, Journal of Business & Economic
Statistics, 1989, p.9):
*scalar adf_lag = int(12*($nobs/100)^(1/4))*
I really think that this would be nice for Gretl GUI users.
Best regards,
--
*Henrique C. de Andrade*
Doutorando em Economia Aplicada
Universidade Federal do Rio Grande do Sul
www.ufrgs.br/ppge
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