Re: [Gretl-users] Change of y

Clarodina, L is the lag operator: Ly(t) = y(t-1). So (1-L)y = y(t) – Ly(t) = y(t) – y(t-1). The left-hand side of the adf regression is then just the first difference of y(t). HTH, PS From: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] On Behalf Of clarodina(a)lycos.com Sent: Wednesday, December 14, 2011 1:17 PM To: gretl-users(a)lists.wfu.edu Subject: [Gretl-users] Change of y The model for adf is (1-L)y = b0 + (a-1)*y(-1) + e But isn't adf is using reg of change of y to lag of y? The (1-L)y is not refering to change of y Clicking the use first difference generate the same (1-L)y rather using change of y What does L represent? Clarodina