Re: [Gretl-users] Fractional Dickey Fuller
On Thu, 22 Oct 2009, [iso-8859-1] Javier Garc�a wrote:
Nowadays the fractional methods are more and more used, and as
Gretl has implemented the ADF and ADF-GLS tests, I think it
would be very interesting to complement them with the fractional
version of the Dickey Fuller test (Dolado, Gonzalo and Mayoral
-Econometrica, 2002 & Studies in Nonlinear Studies and
Econometrics 2008-; and Lobato and Velasco -Econometrica,
2007-).
Have anybody programed it?
Not that I know of.
I have some routines, but there are in R and they are quite
"rudimentary". Hovewer, if you are interested in this test I
could pass you my routines so as you can review and implement if
you want.
You're welcome to send the R code and we can see about
implementing it in gretl (though I'm not promising it'll happen
right away). Another (perhaps better) option would be to write
and submit a gretl function package that does the job. See
Chapter 10 of the Gretl User's Guide, section 10.6 in particular.
Allin Cottrell