[Gretl-users] ADF result

On Sun, 30 Nov 2008, Sven Schreiber wrote: > Am 30.11.2008 19:48, Allin Cottrell schrieb: > >> 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 > > > > Thank you for spotting this. The p-value given by gretl for the > > second lag of LNEG was incorrect: in fact it was the Dickey-Fuller > > p-value for the first lag of LNEG, printed in the wrong place. > > > > But for the case of ADF without constant IIRC the p-value for the > ADF-t=-3.7 would be much lower than 0.20, no? >From the output above, we don't know what the adf tau value was -- all we have is the t-stat for d_LNEG_2. That is, it was only the p-value that was misplaced in the printout, the other components on the d_LNEG_2 line actually belonged there (and agreed with R). Allin. _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users