Re: [Gretl-users] Difference in EG tests
Am 20.02.2014 17:00, schrieb Allin Cottrell:
On Thu, 20 Feb 2014, Allin Cottrell wrote:
> On this sample-size issue, I see what's happening. When the --skip-df option
> is not given we run initial (A)DF tests on two or more variables, and we make
> an effort to impose a uniform sample range, which is then also applied to the
> final test of the residuals from the cointegrating regression. Under
> --skip-df, when only one (A)DF test is run, we just let the sample default to
> the longest available.
>
> I agree that the resulting difference in the Engle-Granger test is hard to
> justify, but like Sven I'm not sure what the "right" fix is.
Oh, what the heck, it's all asymptotic anyway: if adding/dropping a few
initial observations makes a big difference the test is not going to be
very meaningful. So I've provisionally (in CVS) made the final DF test in
Engle-Granger use the maximal sample (regardless of whether --skip-df is
given). If anyone has a strenuous objection, please say.
I haven't thought this through if the problem actually exist, but I
would want to have gretl's behavior be invariant to whether or not the
dataset is subsampled. That is, the test result should only be a
function of the currently selected sample and the chosen max lag, not be
dependent on whether or not some pre-sample values exist.
Not sure if that's actually against the spirit in the rest of gretl.
-sven