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