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

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