Re: [Gretl-users] ADF result
On Thu, 4 Dec 2008, Allin Cottrell wrote:
On Thu, 4 Dec 2008, Sven Schreiber wrote:
> Ok, let's get explicit then...
Thanks, Sven, I think I finally get it. We advertise an "ADF test
with lag order p". Do we mean:
A. A test regression that includes p lags of the dependent
variable in that regression (namely, the first difference of the
variable to be tested), OR
B. A test appropriate for the alternative hypothesis that the
variable in question follows an AR(p) process in its level rather
than a random walk (so that the test regression should contain p-1
lags of the regressand) ?
If I'm reading you right, you know that for gretl the answer is A
(as indeed it is) but you doubt whether this is stated clearly
enough.
We free software buffs do have a talent for creating looong mailing list
threads out of the simplest things. Since it looks like this thread is
dying out, I'll put my 2 cents in to revive it: shouldn't we be consistent
with the Johansen tests (\lambda-max and trace)? Those are just the
multivariate generalisation of ADF, and we use B there.
I know, I should have stayed quiet :-)
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti