[Gretl-users] Lag Order for ADF Test

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