Re: [Gretl-users] sorry, learning hansl question
On Sat, 17 May 2014, Tim Nall wrote:
OK, this is great so far, but one prob:
The gretl documentation says that the interpolated p-value for kpss
"should not be taken too seriously".
It actually says, "should not be taken too literally" (since the
p-value is an interpolated approximation).
So I have the test value... and now I want to compare that to the
*critical value* at the 5% level ... I want to compare 0.403951
(which I know how to access) to 0.473 [...]
OK, newly added in CVS and snapshots you have the kpsscrit()
function. It takes as arguments the number of observations for the
test and a 0/1 flag for absence/presence of a trend in the test. The
value returned is a row vector giving the critical values at the 10,
5 and 1 percent levels.
Simple illustration of use:
<hansl>
nulldata 100
setobs 4 1960:1
series y = normal()
kpss 4 y --quiet
if $test > kpsscrit(100,0)[2]
print "significant at 5%"
else
print "not significant at 5%"
endif
y = cum(y)
kpss 4 y --quiet
if $test > kpsscrit(100,0)[2]
print "significant at 5%"
else
print "not significant at 5%"
endif
</hansl>
Allin Cottrell