Re: [Gretl-users] counting

On Sat, 2 Jan 2010, Artur T. wrote: > I programmed the following loop and wanted to count how often the null > is rejected for the ADF test. Unfortunately I do not know whether there > is a simple function for this. > > loop 1000 --progressive --quiet > genr a = 10*uniform() > genr y = 1*a + normal() > alpha = 0.99 > genr y = alpha*y(-1) + normal() > adf 1 y --nc --quiet > genr pv = $pvalue > print pv > store coeffs.gdt pv > endloop > <script> nulldata 100 # or whatever scalar alpha = 0.99 scalar level = 0.05 # or whatever scalar reject = 0 scalar replics = 1000 loop replics --progressive --quiet genr a = 10*uniform() genr y = 1*a + normal() genr y = alpha*y(-1) + normal() adf 1 y --nc --quiet genr pv = $pvalue reject += (pv < level) print pv store pvals.gdt pv endloop printf "rejections = %d (%.2f%%)\n", reject, 100*reject/replics </script> >From running this a few times, it looks as if this test is over-rejecting quite seriously (if I'm interpreting the results correctly). I'll look into this further. Allin. _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users