Re: [Gretl-users] sorry, learning hansl question
On Sat, 17 May 2014, Tim Nall wrote:
OK, this is great so far, but one prob:
The gretl documentation says that the interpolated p-value for kpss
"should not be taken too seriously". So I have the test value... and
now I want to compare that to the *critical value* at the 5% level ...
I want to compare 0.403951 (which I know how to access) to 0.473 (see
output below):
T = 40
Lag truncation parameter = 3
Test statistic = 0.403951
10% 5% 1%
Critical values: 0.352 0.473 0.719
Interpolated p-value 0.079
"Serisously" perhaps is too strong a word here. What we mean is that we
are not aware of an algorithm which will give you exact p-values for the
KPSS test, so we rely on linear interpolation, banking on the fact that
the p-value function is monotone by definition. Certainly, the
p-value for 0.403951 is between 10% and 5%, and I would be very surprised
if it turned out to be very different from 8%.
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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