Re: [Gretl-users] MODIFIED AIC
On Sat, 23 May 2015, Dipankar Basnet wrote:
I AM USING GRETL FOR MAC (QUARTZ). WHEN I CONDUCT THE ADF TEST, THE
TEST DOWN FOR LAG ORDER DOES NOT DISPLAY THE “MODIFIED” AIC AND BIC
RATHER AIC AND BIC. THE RESULTS WHEN I COMPARE ARE DIFFERENT FOR MAC
(WITHOUT “MODIFIED” AIC) THAN THE MODIFIED AIC THAT IS AVAILABLE
WHEN USING GRETL FOR WINDOWS. I WOULD BE GRATEFUL IF YOU COULD
SUGGEST A SOLUTION TO THIS CONFUSION.
In current gretl you should see the same test options on the Mac and
on Windows. The "modified" AIC and BIC methods are specific to the
DF-GLS test and are not shown for the regular (A)DF test. (If I'm
remembering right, we mistakenly offered modified AIC with regular ADF
in the past.)
Allin Cottrell