Sorry, it was a typo. In fact, it should be

ADF3 <- ols diff(Yt) const Yt(-1) diff(Yt(-1))

The result is even stranger. The last term was incorrectly parsed as "diff(Yt)."

--------------------------------------------------------------------------
gretl version 1.9.12cvs
Current session: 2013-04-22 21:49
? ADF3 <- ols diff(Yt) const Yt(-1) diff(Yt(-1))

ADF3: OLS, using observations 1960-1994 (T = 35)
Dependent variable: d_Yt

             coefficient   std. error   t-ratio   p-value
-------------------------------------------------------
const        0.00000      0.00000       NA        NA
Yt_1         0.00000      0.00000       NA        NA
d_Yt         1.00000      0.00000       NA        NA

Mean dependent var   276.5429   S.D. dependent var   243.4384
Sum squared resid    0.000000   S.E. of regression   0.000000
R-squared            1.000000   Adjusted R-squared   1.000000

2013/4/22 Sven Schreiber <svetosch@gmx.net>

Am 22.04.2013 10:03, schrieb yinung at Gmail:

>
> But this looks like Yt_1 has been generated internally since the script
> like this does not work:
>
> ADF1 <- ols diff(Yt) const Yt(-1) diff(Y(-1))
>

well if your variable is called "Yt" (a bad choice IMHO BTW) then "Y"
isn't going to work, is it?

In general it would help to include the error message.

hth,
sven

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