Re: [Gretl-users] KPSS test

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. Cheers, LA On , "samyto ..." <samyto(a)hotmail.fr&gt; wrote: > > > > > > Dear Gretl Users, > > My question concerns KPSS unit root test. After selecting my serie and 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 ! > > > Samy > > > > _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users