[Gretl-users] RES: Lag Order for ADF Test

Não receber mais email De: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] Em nome de Henrique Andrade Enviada em: quinta-feira, 17 de março de 2011 20:35 Para: Gretl Discussion List (users) Assunto: [Gretl-users] Lag Order for ADF Test Dear Gretl Team, I would suggest a change in the ADF test (through the GUI). When Gretl asks for the lag order I think it would be nice to put a default value for the lag order (also leaving the option "test down from maximum lag order") selected by default. Looking at EViews (ADF test) and R (Phillips-Perron test), I'd discovered that they use the following default, as suggested by Schwert (Tests for Unit Roots: A Monte Carlo Investigation, Journal of Business & Economic Statistics, 1989, p.9): scalar adf_lag = int(12*($nobs/100)^(1/4)) I really think that this would be nice for Gretl GUI users. Best regards, -- Henrique C. de Andrade Doutorando em Economia Aplicada Universidade Federal do Rio Grande do Sul www.ufrgs.br/ppge