Re: [Gretl-users] ECM and VECM
Many thanks for your advice.
Yuniarto Hadiwibowo
----- Original Message ----
From: Allin Cottrell <cottrell(a)wfu.edu>
To: Gretl list <gretl-users(a)lists.wfu.edu>
Sent: Wednesday, December 10, 2008 12:04:41 PM
Subject: Re: [Gretl-users] ECM and VECM
I cannot find how to access the lag order in ADF test. Is there
any accessor for the actual lag order used? [when using the
--test-down option]
No, at present there is not, but one could script an ADF test, on
the pattern of gretl's automated version, which returns the final
lag length. For a somewhat relevant example, see the sample
script perron97.inp (available under File/Script files/Practice
file/Gretl
Allin Cottrell