I didn't know about the small sample c=4. That's a great tip! Thanks, Greg....
Lee
On , Grzegorz Konat <
grzegorz.konat@ibrkk.pl> wrote:
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> Schwert suggested l = c((T/100^(1/4)) with either c=4 for small
> sample (T widely accepted for the KPSS test too.
>
> Cheers,
>
> Greg
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>
>
> W dniu 2011-07-30 14:44,
adkins.lee@gmail.com pisze:
> I don't believe gretl doen not have a
> --test-downoption in kernel estimation, which is what I believe
> KPSS involves.
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> So-called 'optimal' bandwidth is usually a function of sample
> size. Some use rules like 0.75T^(1/3) or 4(T/100)^(2/9). I believe
> that Schwert suggested 12((T+1)/100)^(1/4) in picking lags for ADF
> tests. With respect to KPSS, I don't know. Longer means less bias
> and less precision. Shorter more bias, but greater precision.
>
>
>
> Cheers,
>
> LA
>
> On , "samyto ..." wrote:
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> > Dear Gretl Users,
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> >
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> > My question concerns KPSS unit root test. After selecting my
> serie and clicking on KPSS test; the default lag is set to 8.
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> > How do I find the best lag for my test ? Is there an
> automatic way to select it ? Is the default lag the best one ?
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> >
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> > Thanks a lot for helping !
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> > Samy
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>
>
>
> --
> Pozdrawiam,
> Grzegorz Konat
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>