Re: [Gretl-users] Lag Order for ADF Test

Dear Allin, Probably a year ago you posted script to test max lag in ADF using AIC or BIC or HQC criteria. I have trouble locating it the group archive. Can you dig this out ? I would be very grateful. All the best, Davor On 18.3.2011. 14:04, Allin Cottrell wrote: > On Thu, 17 Mar 2011, Henrique Andrade wrote: > >> 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'm not opposed to doing something like that. What do others > think? (Right now we just offer a default of 1 for the ADF > lag-length, and leave it up to the user to raise the order, and to > select the option of testing down from some maximum order.) > > Allin Cottrell > > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users