Hi Henrique,
If the test shows that you have a unit root, by
definition, the residuals doesn't follow a random walk (white nose) and
vice-versa.
But if you really want to see the residuals,
just run an AR(p) regression, by OLS, where p is the "augmented lag" (w/o
truncation), then save the residuals.
Best,
Ricardo
Sent: Wednesday, April 07, 2010 4:49 PM
Subject: [Gretl-users] Saving ADF Residuals
Dear Gretl Community,
Is it possible to save the residuals
of the Augmented Dickey-Fuller (ADF) test regressions? I would like to save them
to check if they follow a white noise process.
Best,
Henrique C. de
Andrade
Doutorando em Economia Aplicada
Universidade Federal do Rio Grande
do Sul
www.ufrgs.br/ppge
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