I'm doing a unit root test ADF with Gretl on a series of tourism market
share of Spain specified with constant and trend.
By comparing the results with Eviews or R (package fUnitRoot) I get the same
t-statistic, but although both programs indicate that the critical values
are McKinnon (1996) MacKinnon, J. G. (1996) "Numerical distribution
functions for unit root and cointegration tests", Journal of Applied
Econometrics 11: 601-618.
p-values of the test are very different in either case .
Gretl: t = -3.62 p-value 0.02 asymptotic
Eviews t = -3.62 p-value (one-sided) = 0.04 which is the same value
obtained in R.
I know that obtain similar values with different software is very strange.
But this difference is normal?
At what may be due?
Thanks in advance and sorry for any inconvenience.
José F. Perles
University of Alicante
Spain