Re: [Gretl-users] ADF result

Am 30.11.2008 12:27, Charles Ward schrieb: > I ran a ADF test in gretl and in R. > > (The regression was no constant, LNEG lagged once, d_LNEG lag1 and > d_LNEG lag2) > In gretl and R, the results were for most purposes identical for all > numbers for Z and d_LNEG lag 1 > > In gretl the results for d_LNEG lag2 were > coefficient std. error t-ratio p-value > d_LNEG_2 -0.470623 0.126295 -3.726 0.2006 > But in R the results were > z.diff.lag2 -0.47062 0.12629 -3.726 0.00053 > > Which is correct? > If I understand correctly, you implemented the ADF test manually by running the appropriate OLS regression? Then, unless I'm missing something, the distribution for the lagged differences would be standard and a t-ratio of -3.7 most definitely wouldn't give you a p-value of 0.20. So gretl would be wrong here, but I don't know the reason. good luck, sven _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users