Re: [Gretl-users] Unitroot ADF test p value
On Thu, 5 Jul 2012, JOSE FRANCISCO PERLES RIBES wrote:
I'm doing a unit root test ADF with Gretl on a series of tourism
market
share of Spain specified with constant and trend.
By comparing the results with Eviews or R (package fUnitRoot) I get the same
t-statistic, but although both programs indicate that the critical values
are McKinnon (1996) MacKinnon, J. G. (1996) "Numerical distribution
functions for unit root and cointegration tests", Journal of Applied
Econometrics 11: 601-618.
p-values of the test are very different in either case .
Gretl: t = -3.62 p-value 0.02 asymptotic
Eviews t = -3.62 p-value (one-sided) = 0.04 which is the same value
obtained in R.
You should find that if you do a non-augmented Dickey-Fuller test
(no lagged differences) the P-values given by gretl agree with those
from R's fUnitRoots package. If you run an augmented test, gretl
automatically gives the asymptotic P-value, while it appears that
fUnitRoots is giving the finite-sample value for the sample size
used (and I suppose Eviews is doing the same). I verified this on
some examples, using MacKinnon's urcdist program.
I believe gretl is doing the right thing here. In his 1996 JAE
article MacKinnon says, "Since the finite-sample P-values are valid
only for non-augmented Dickey-Fuller tests, it is probably wise to
ignore them for ADF tests..."
Allin Cottrell