[Gretl-users] ADF by OLS manually

Dear All, I occasionally tried the following script to run ADF OLS manually. However, it is found the commands for DF and ADF1 as follow are ok but not for ADF2. <hansl> open data3-6 #ADF by OLS manually DF <- ols diff(Yt) const Yt(-1) ADF1 <- ols diff(Yt) const Yt(-1) diff(Yt_1) ADF2 <- ols diff(Yt) const Yt(-1) diff(Yt_1) diff(Yt_2) </hansl> I know that it formally should be execute before these ols commands: lags 2; Yt But this looks like Yt_1 has been generated internally since the script like this does not work: ADF1 <- ols diff(Yt) const Yt(-1) diff(Y(-1)) I am not asking any revision. Just curious. Thanks. Yi-Nung Yang