Re: [Gretl-users] ADF result
Hebert,
I'm not quite sure what the reasons for your recommendation are, the
point here was something different. The ADF test functionality as such
is of course present in gretl.
Having said that, however, I just noticed that in the ADF test
specification and output it's not 100% obvious (at least to me) whether
the lag order refers to right-hand levels or differences. I would
suggest that at least in the output this should be clarified. (It could
be in the manual, I haven't checked right now, but in any case it should
be self-explanatory IMHO.)
thanks,
sven
Am 04.12.2008 15:13, Hebert Suarez Cahuana schrieb:
I recomend use Eviews, stata or other program for this, or use
tables
of critical values of MacKinnon, see Wooldridge "Introductory Econometrics.
Greetings
Hebert Suarez
Peru
On Sun, 30 Nov 2008 06:59:46 -0500, Sven Schreiber <svetosch(a)gmx.net>
wrote:
> Am 30.11.2008 12:27, Charles Ward schrieb:
>> I ran a ADF test in gretl and in R.
>>
>> (The regression was no constant, LNEG lagged once, d_LNEG lag1 and
>> d_LNEG lag2)
>> In gretl and R, the results were for most purposes identical for all
>> numbers for Z and d_LNEG lag 1
>>
>> In gretl the results for d_LNEG lag2 were
>> coefficient std. error t-ratio p-value
>> d_LNEG_2 -0.470623 0.126295 -3.726 0.2006
>> But in R the results were
>> z.diff.lag2 -0.47062 0.12629 -3.726 0.00053
>>
>> Which is correct?
>>
>
> If I understand correctly, you implemented the ADF test manually by
> running the appropriate OLS regression?
>
> Then, unless I'm missing something, the distribution for the lagged
> differences would be standard and a t-ratio of -3.7 most definitely
> wouldn't give you a p-value of 0.20. So gretl would be wrong here, but I
> don't know the reason.
>
> good luck,
> sven
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