Re: [Gretl-users] Limitation on lag order specification in ADF test
On Mon, 8 Nov 2004, Blaise Roncagli wrote:
In the Augmented Dickey-Fuller (ADF) test, there is a limit of 4
lags
that can be specified in build 1.3.0 of Gretl. Is this a fundamental
limitation of the software, or just an internal parameter that can be
adjusted?
It's somewhat arbitrary: I will increase the limit for 1.3.0. There
is a Windows build with a higher limit at
ftp://ricardo.ecn.wfu.edu/pub/gretl/gretl_install.exe
Allin Cottrell