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.