[Gretl-users] Re: An uniform distribution of the p-value from adf test in gretl when there is no intercept nor trend?
On Tue, 23 Apr 2019, Fred Engst wrote:
Hi all,
As I was trying to see how adf performs under different scenarios,
I found somewhat surprising results.
ADF seems to work fine when there are either an intercept, or a
trend, or both. But when there are none, the distribution of the
resulting p-value become an uniform distribution.
What did I do wrong?
I guess you didn't do anything wrong. When the null hypothesis is
true and a test is working as designed, its p-value will be
uniformly distributed on (0,1). Then using marginal significance
level alpha you'll reject 100*alpha percent of the time, and the
test is properly sized. Funny how probability works.
Allin