Re: [Gretl-users] sorry, learning hansl question

On Sat, 17 May 2014, Tim Nall wrote: > OK, this is great so far, but one prob: > > The gretl documentation says that the interpolated p-value for kpss > "should not be taken too seriously". It actually says, "should not be taken too literally" (since the p-value is an interpolated approximation). > So I have the test value... and now I want to compare that to the > *critical value* at the 5% level ... I want to compare 0.403951 > (which I know how to access) to 0.473 [...] OK, newly added in CVS and snapshots you have the kpsscrit() function. It takes as arguments the number of observations for the test and a 0/1 flag for absence/presence of a trend in the test. The value returned is a row vector giving the critical values at the 10, 5 and 1 percent levels. Simple illustration of use: <hansl> nulldata 100 setobs 4 1960:1 series y = normal() kpss 4 y --quiet if $test > kpsscrit(100,0)[2] print "significant at 5%" else print "not significant at 5%" endif y = cum(y) kpss 4 y --quiet if $test > kpsscrit(100,0)[2] print "significant at 5%" else print "not significant at 5%" endif </hansl> Allin Cottrell _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users