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@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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