I don't believe gretl doen not have a --test-downoption in kernel
estimation, which is what I believe KPSS involves.
So-called 'optimal' bandwidth is usually a function of sample size. Some
use rules like 0.75T^(1/3) or 4(T/100)^(2/9). I believe that Schwert
suggested 12((T+1)/100)^(1/4) in picking lags for ADF tests. With respect
to KPSS, I don't know. Longer means less bias and less precision. Shorter
more bias, but greater precision.
On , "samyto ..." <samyto(a)hotmail.fr> wrote:
Dear Gretl Users,
My question concerns KPSS unit root test. After selecting my serie
clicking on KPSS test; the default lag is set to 8.
How do I find the best lag for my test ? Is there an automatic way to
select it ? Is the default lag the best one ?
Thanks a lot for helping !