Re: [Gretl-users] Change of y
On 12/14/2011 07:17 PM, clarodina(a)lycos.com wrote:
The model for adf is (1-L)y = b0 + (a-1)*y(-1) + e
When you start a new topic/thread, I think it's good practice to start
with "hello", or "hi", or something like that...
But isn't adf is using reg of change of y to lag of y?
yes
The (1-L)y is not refering to change of y
yes it is
Clicking the use first difference generate the same (1-L)y rather using
change of y
What does L represent?
The lag operator
-sven