Re: [Gretl-users] Lag Order for ADF Test
On Thu, 31 Mar 2011, Henrique Andrade wrote:
Dear Allin, today I realized that Gretl are using the Schwert's
suggestion to choose the maximum lag length. Thanks for
implementing this!
I would like to suggest to put this information into the
Gretl-help. In the fractional integration test help we have:
"If the optional order argument is not given the order for the
test(s) is set automatically as the lesser of T/2 and T^0.6."
So I think it would be nice if we could put something like that
into the ADF's help:
"If the lag order argument is not given the order for the test
is set automatically as suggested by Schwert (1989):
Max ADF lag = int(12*($nobs/100)^(1/4))"
The trouble with that is that, unlike fractint, it's not possible
to "not give" a lag order with the adf command: it's a required
argument. At present, the automatic setting is just a convenience
in the GUI. I suppose we could implement something like: give
-1 for the order if you want it set automatically a la Schwert.
Allin