Re: [Gretl-users] Unitroot ADF test p value

On Thu, 5 Jul 2012, JOSE FRANCISCO PERLES RIBES wrote: > I'm doing a unit root test ADF with Gretl on a series of tourism market > share of Spain specified with constant and trend. > By comparing the results with Eviews or R (package fUnitRoot) I get > the same > t-statistic, but although both programs indicate that the critical values > ​​are McKinnon (1996) MacKinnon, J. G. (1996) "Numerical distribution > functions for unit root and cointegration tests", Journal of Applied > Econometrics 11: 601-618. > p-values ​​of the test are very different in either case . > Gretl: t = -3.62 p-value 0.02 asymptotic > Eviews t = -3.62 p-value (one-sided) = 0.04 which is the same value > obtained in R. You should find that if you do a non-augmented Dickey-Fuller test (no lagged differences) the P-values given by gretl agree with those from R's fUnitRoots package. If you run an augmented test, gretl automatically gives the asymptotic P-value, while it appears that fUnitRoots is giving the finite-sample value for the sample size used (and I suppose Eviews is doing the same). I verified this on some examples, using MacKinnon's urcdist program. I believe gretl is doing the right thing here. In his 1996 JAE article MacKinnon says, "Since the finite-sample P-values are valid only for non-augmented Dickey-Fuller tests, it is probably wise to ignore them for ADF tests..."