Re: [Gretl-users] ADF test: tau statistic

Charles Koss schrieb: > I am running a ADF test for a time series, what is the test statistic > tau? I understand that the null hypothesis is rejected when the > comparison is made with the critical values. > > estimated value of (a - 1): -0.0673784 > test statistic: tau = -1.63219 > >                       10%     5%     2.5%     1% > Critical values: -2.89   -3.19   -3.46   -3.77 > it's the t-statistic of the lagged level term, i.e. the t-stat of the null hypothesis a=1. cheers, sven _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users