Re: [Gretl-users] ADF result
On Thu, 4 Dec 2008, Hebert Suarez Cahuana wrote:
I recomend use Eviews, stata or other program for this, or use
tables of critical values of MacKinnon, see Wooldridge
"Introductory Econometrics.
Gretl contains the MacKinnon tables and prints out the appropriate
p-value for the ADF test. You can also access such p-values
directly using the urcpval() function.
The wrong p-value that was being shown prior to the recent report
and fix was not the actual test p-value, it was the p-value for a
lagged difference of y (one of the "augmented" terms), a statistic
which is visible only if you call for verbose output.
Allin Cottrell