Re: [Gretl-users] test-down option reports different results in adf and coint

I've been trying to figure out why the test-down option behaves differently in coint and adf. In the help file, it is explained that the approach in adf is used in coint as well, but the output is inconsistent with this for the initial DF steps in coint (steps 1 and 2). I would expect both functions to run the adf on a subset of the data (for comparability reasons, I presume) that is consistent with the maximum lag. Initially, this appears to be the case as the MAIC values for both adf and coint are identical. BUT after finding the number of lags with minimum MAIC, adf reports the results for the full set wheres coint reports the results for the subset of data where original estimation is done.