Hi all,

I'm just beginning to learn how to write scripts in gretl, but couldn't you do something like this to get the different information criteria for a given ADF regression? (The data is from Greene, table 5_1)
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#[Script (badly written!) to display BIC, AIC and HQC values for different lags in an ADF test]

matrix m = zeros(14,3)# [defines a matrix which will contain the different IC values, 14 being the number of lags to include]
i=1
logs realgdp
diff l_realgdp
loop 14 # [tried adding a "progressive" tag here but gretl crashed when I did this]
ols d_l_realgdp const l_realgdp(-1) d_l_realgdp(-1 to -i) # [the ADF regression (with constant but no trend)]
m[i,1] = $bic
m[i,2] = $aic
m[i,3] = $hqc
i=i+1
endloop
print m #  [prints a matrix with the BIC values in the first column, the AIC in the second and the HQC in the third]
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/Olle
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Allin Cottrell wrote:
>
> What you see is what you get ;-) Right now, there's no automatic
> option for test-down in the ADF test other than using the
> t-statistic on the last lag.  It wouldn't be too difficult to
> write a function that did it some other way, although use of AIC
> would not be very advisable since it tends to favour overly large
> models.
>
> Allin Cottrell
> ______________________________