Hello everybody;
Nowadays the fractional methods are more and more used, and as Gretl has implemented the ADF and ADF-GLS tests, I think it would be very interesting to complement them with the fractional version of the Dickey Fuller test (Dolado, Gonzalo and Mayoral -Econometrica, 2002 & Studies in Nonlinear Studies and Econometrics 2008-; and Lobato and Velasco -Econometrica, 2007-). Have anybody programed it? I have some routines, but there are in R and they are quite "rudimentary". Hovewer, if you are interested in this test I could pass you my routines so as you can review and implement if you want.