Dear Gretl Team,<div><br></div><div>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 &quot;test down from maximum lag order&quot;) selected by default.</div>

<div><br></div><div>Looking at EViews (ADF test)  and R (Phillips-Perron test), I&#39;d discovered that they use the following default, as suggested by Schwert (Tests for Unit Roots: A Monte Carlo Investigation, Journal of Business &amp; Economic Statistics, 1989, p.9):</div>

<div><br></div><div><div><font class="Apple-style-span" face="&#39;courier new&#39;, monospace"><b>scalar adf_lag = int(12*($nobs/100)^(1/4))</b></font></div><div><br></div><div>I really think that this would be nice for Gretl GUI users.</div>

<div><br></div><div>Best regards,</div>-- <br><b><font face="tahoma, sans-serif">Henrique C. de Andrade</font></b><font face="tahoma, sans-serif"><br>Doutorando em Economia Aplicada<br>Universidade Federal do Rio Grande do Sul<br>

<a href="http://www.ufrgs.br/ppge" target="_blank">www.ufrgs.br/ppge</a></font><br>
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