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@wfu.edu> wrote:

On Sat, 6 Jun 2015, Sven Schreiber wrote:

Am 06.06.2015 um 18:34 schrieb Allin Cottrell:

On Thu, 4 Jun 2015, Koray Simsek wrote:

Dear Allin,

I am sorry that the two lines I sent in my original post do not replicate
the issue in the current snapshot as they were run in an older gretl
where
MAIC was used as the test-down criteria and selected a smaller lag value
for test-down in LRM.

Sven explained my point perfectly. If you run ADF for LRY (not LRM) as
follows, you'll notice that AIC below the regression output is different
from the AIC for k=0 in the test-down procedure. This is because the
regression is run on the full-sample whereas the test-down is done for
the
lag 5 compatible sample.

OK, thanks, now I see. This should be fixed in current CVS and snapshots.

And which of the two samples is used now, starting at t0 + maxlag or at
t0 + bestlag?

The same as the stand-alone ADF test: t0 + bestlag.

Allin

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