Re: [Gretl-users] ADF result

On Thu, 4 Dec 2008, Allin Cottrell wrote: > On Thu, 4 Dec 2008, Sven Schreiber wrote: > >> Ok, let's get explicit then... > > Thanks, Sven, I think I finally get it. We advertise an "ADF test > with lag order p". Do we mean: > > A. A test regression that includes p lags of the dependent > variable in that regression (namely, the first difference of the > variable to be tested), OR > > B. A test appropriate for the alternative hypothesis that the > variable in question follows an AR(p) process in its level rather > than a random walk (so that the test regression should contain p-1 > lags of the regressand) ? > > If I'm reading you right, you know that for gretl the answer is A > (as indeed it is) but you doubt whether this is stated clearly > enough. We free software buffs do have a talent for creating looong mailing list threads out of the simplest things. Since it looks like this thread is dying out, I'll put my 2 cents in to revive it: shouldn't we be consistent with the Johansen tests (\lambda-max and trace)? Those are just the multivariate generalisation of ADF, and we use B there. I know, I should have stayed quiet :-)