Re: [Gretl-users] ADF result
On Thu, 4 Dec 2008, Sven Schreiber wrote:
Please guys, there are different conventions out there about
whether lag order refers to levels or differences in the
unit-root/cointegration context. Believe me, I know what I'm
talking about here...
I believe you! Sorry to make a meal out of this, but is this the
question that needs clarification, then: When gretl says the lag
order is, say, 3, does that mean the ADF regression contains 3 or
2 lags of \tilde y, where \tilde y is the dependent var in the
DF regression?
Allin.