Re: [Gretl-users] counting

Allin Cottrell schrieb: > On Sat, 2 Jan 2010, Artur T. wrote: > > >> I programmed the following loop and wanted to count how often the null >> is rejected for the ADF test. Unfortunately I do not know whether there >> is a simple function for this. >> >> loop 1000 --progressive --quiet >> genr a = 10*uniform() >> genr y = 1*a + normal() >> alpha = 0.99 >> genr y = alpha*y(-1) + normal() >> adf 1 y --nc --quiet >> genr pv = $pvalue >> print pv >> store coeffs.gdt pv >> endloop >> > <script> > nulldata 100 # or whatever > scalar alpha = 0.99 > scalar level = 0.05 # or whatever > scalar reject = 0 > scalar replics = 1000 > loop replics --progressive --quiet > genr a = 10*uniform() > genr y = 1*a + normal() > genr y = alpha*y(-1) + normal() > adf 1 y --nc --quiet > genr pv = $pvalue > reject += (pv < level) > print pv > store pvals.gdt pv > endloop > > printf "rejections = %d (%.2f%%)\n", reject, 100*reject/replics > </script> > > >From running this a few times, it looks as if this test is > over-rejecting quite seriously (if I'm interpreting the results > correctly). I'll look into this further. > > Allin. > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users > Thanks for all the versions - they all do their job properly. @Allin I was also surprised how often the null is rejected. But actually, as is known, the result depends heavily on the number of observations and how close %alpha is to the unit.