Re: [Gretl-users] ECM and VECM
On Mon, 8 Dec 2008, Yuniarto Hadiwibowo wrote:
Thank you for your attention. I am still learning this ECM and VECM.
Some people point out to me several issues in VECM:
1. Small sample bias.
2. Data should be integrated in order(1)...
I cannot find how to access the lag order in ADF test. Is there
any accessor for the actual lag order used? [when using the
--test-down option]
No, at present there is not, but one could script an ADF test, on
the pattern of gretl's automated version, which returns the final
lag length. For a somewhat relevant example, see the sample
script perron97.inp (available under File/Script files/Practive
file/Gretl
Allin Cottrell