Re: [Gretl-users] ADF result
Am 30.11.2008 12:27, Charles Ward schrieb:
I ran a ADF test in gretl and in R.
(The regression was no constant, LNEG lagged once, d_LNEG lag1 and
d_LNEG lag2)
In gretl and R, the results were for most purposes identical for all
numbers for Z and d_LNEG lag 1
In gretl the results for d_LNEG lag2 were
coefficient std. error t-ratio p-value
d_LNEG_2 -0.470623 0.126295 -3.726 0.2006
But in R the results were
z.diff.lag2 -0.47062 0.12629 -3.726 0.00053
Which is correct?
If I understand correctly, you implemented the ADF test manually by
running the appropriate OLS regression?
Then, unless I'm missing something, the distribution for the lagged
differences would be standard and a t-ratio of -3.7 most definitely
wouldn't give you a p-value of 0.20. So gretl would be wrong here, but I
don't know the reason.
good luck,
sven