Re: [Gretl-users] Lag Order for ADF Test
On Fri, 18 Mar 2011, Davor Horvatic wrote:
Probably a year ago you posted script to test max lag in ADF using
AIC or BIC or HQC criteria. I have trouble locating it the group archive.
Can you dig this out ? I would be very grateful.
I think this must be what you have in mind:
http://lists.wfu.edu/pipermail/gretl-users/2009-February/003033.html
Allin Cottrell