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@hotmail.fr> 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
>
>
>
>
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