Re: [Gretl-users] ADF test

From: Allin Cottrell <cottrell(a)wfu.edu&gt; Reply-To: Gretl list <gretl-users(a)ricardo.ecn.wfu.edu&gt; To: Gretl list <gretl-users(a)ricardo.ecn.wfu.edu&gt; Subject: Re: [Gretl-users] ADF test Date: Thu, 16 Nov 2006 08:51:52 -0500 (EST) On Thu, 16 Nov 2006, john w wrote: >I tried to do ADF tests with and without Test down option. Using always >the same variable. >Here are the results... (And the results differ for lag-order 0, depending on whether the test-down option is used or the 0 value is entered as a fixed parameter.) I've found the bug: in the case of automatic testing down, if we got to the point of just one lag remaining, and if this lag was not significant, it wasn't actually deleted from the test model as should be. The bug was specific to the case where the lag order "wanted to go to zero"; in this case the result from manually setting the order to 0 was correct, and the result from automatic testing-down was wrong. This is now fixed in CVS and I'll put out a Windows snapshot shortly. Allin. _______________________________________________ Gretl-users mailing list Gretl-users(a)ricardo.ecn.wfu.edu http://ricardo.ecn.wfu.edu/mailman/listinfo/gretl-users