Re: [Gretl-users] 1.5.0 / suggestions / contributions
> Finally, and totally unrelated to the previous points, it would
be
> nice if seasonal dummies could be added to ADF tests and VAR/VECM
> systems automatically, i.e., by just clicking a check-box.
> Otherwise, for unadjusted data one always has to do the tests "by
> hand"
Seasonal dummies can be added via check-box in the case of
VARs/VECMs in gretl 1.5.0 (provided the data are recognized as
seasonal). As for the ADF test, that's a possibility. But I wonder
what that would do to the distribution of the test statistic?
It should be ok. I need to check this, but I have a vague memory of a
paper (possibly by Dickey) that came out in the late 80s or early 90s
where it was proven that the inclusion of seasonal dummies does not modify
the asymptotic distribution of the test. I won't be able to check till
Monday, though.
OTOH, it would be nice to have the HEGY unit root test for dealing with
seasonal time series (at least quarterly, monthly is a lot messier).
Riccardo `Jack' Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
jack(a)dea.unian.it
http://www.econ.univpm.it/lucchetti