Re: [Gretl-users] test-down option reports different results in adf

Dear Allin, Thanks for quickly acting on this, but when I installed the current snapshot, I noticed that the coint Steps 1,2, and 4 completely disappeared. Here's what my output looks like when I run coint with --verbose: Step 1: testing for a unit root in X1 Step 2: testing for a unit root in X2 Step 3: cointegrating regression Cointegrating regression - OLS, using observations 2012-12-14:2013-12-13 (T = 250) Dependent variable: X1 coefficient std. error t-ratio p-value --------------------------------------------------------- const 0.331381 0.119003 2.785 0.0058 *** X2 0.932445 0.0138352 67.40 1.83e-161 *** Mean dependent var 8.297023 S.D. dependent var 0.962697 Sum squared resid 11.94726 S.E. of regression 0.219487 R-squared 0.948229 Adjusted R-squared 0.948020 Log-likelihood 25.38522 Akaike criterion −46.77044 Schwarz criterion −39.72752 Hannan-Quinn −43.93587 rho 0.912250 Durbin-Watson 0.174442 Step 4: testing for a unit root in uhat There is evidence for a cointegrating relationship if: (a) The unit-root hypothesis is not rejected for the individual variables, and (b) the unit-root hypothesis is rejected for the residuals (uhat) from the cointegrating regression. I hate to say this, but my comment might have led to the introduction of a bug. Can I also have a feature request while this is being fixed? Using --verbose produces the AIC and BIC values for all lags if selected as test-down criteria, but when tstat is selected for test-down, nothing is produced. I know tstat test-down stops when >1.645 is observed so that t-stats for lower lags are not available, but it could be nice to see other t-stats above that lag again for the sake of consistency in the --verbose option. Best, Koray On Sat, Jun 6, 2015 at 7:50 PM, Allin Cottrell <cottrell(a)wfu.edu&gt; wrote: