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@lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] On Behalf Of clarodina@lycos.com
Sent: Wednesday, December 14, 2011 1:17 PM
To: gretl-users@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