Re: [Gretl-users] ADF result
On Sun, 30 Nov 2008, Allin Cottrell wrote:
On Sun, 30 Nov 2008, Charles Ward wrote:
> In gretl the results for d_LNEG lag2 were
> coefficient std. error t-ratio p-value
> d_LNEG_2 -0.470623 0.126295 -3.726 0.2006
> But in R the results were
> z.diff.lag2 -0.47062 0.12629 -3.726 0.00053
>
> Which is correct?
Thank you for spotting this. The p-value given by gretl for the
second lag of LNEG was incorrect...
Sorry, I mean to say, "for the second lag of d_LNEG".
Allin Cottrell