Re: [Gretl-users] test-down option reports different results in adf
Am 03.06.2015 um 03:26 schrieb Koray Simsek:
By the way, I downloaded and installed the current snapshot
(1.10.90.cvs
build date 2015-05-30) but the results are still different.
adf runs the test-down on the common data set (N-1-maxlag) for lag
selection, but reports the "optimal" lag ADF results on the full data
set (N-1-bestlag).
coint reports the ADF results directly from the test-down run for the
"optimal" lag (N-1-maxlag).
I don't have time right now, but if Allin says the code is supposed to
handle this consistently and it doesn't, then of course it's a problem.
-sven