Re: [Gretl-users] counting

On Mon, 4 Jan 2010, Berend Hasselman wrote: > You beat me to it. > I was getting some doubts about the genr's. > So I decided to initialise y to 0. [...] > I've run this several times. The rejection rate still seems to reach > 6 or 7 %. Slightly modified version: <script> set echo off set messages off nulldata 100 scalar n = 9 matrix alphas = 0.9 + 0.1/(n+1)*seq(0,n) scalar rlevel = 0.05 scalar N = 1000 matrix rjs = zeros(1, cols(alphas)) set stopwatch loop for i=0..n --quiet scalar reject = 0 alpha = alphas[i+1] loop N --quiet series y = 0 genr y = alpha*y(-1) + normal() adf 1 y --c --quiet genr pv = $pvalue reject += (pv<rlevel) endloop rjs[i+1] = reject end loop time=$stopwatch results = (alphas | (100/N * rjs))' colnames(results, "alpha rej_rate") print results printf "CPU seconds used %.2f\n",time </script> which of course illustrates the well known lack of power of the ADF test: if you use "adf --gls" things change quite a bit. Riccardo (Jack) Lucchetti Dipartimento di Economia Università Politecnica delle Marche r.lucchetti(a)univpm.it http://www.econ.univpm.it/lucchetti ------------------------------------------------------------------------ _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users