Yes, I agree with Davor Horvatic: It would be great to have the script. However, if Gretl´s menu could be improved, I think something like AIC, SBC, HQ (like Eviews) criteria for doing this would be great. 

Thanks for your time and attention, 

Claudio

On Fri, Mar 18, 2011 at 10:34 AM, Davor Horvatic <davorh@phy.hr> wrote:
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
>
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