[Gretl-users] ADF test

Hi, I tried to do ADF tests with and without Test down option. Using always the same variable. Here are the results: ADF test Max order =4 Const + trend included Test down checked Dickey-Fuller tests for X sample size 35 unit-root null hypothesis: a = 1 with constant and trend model: (1 - L)y = b0 + b1*t + (a-1)*y(-1) + e lag order: 0 1st-order autocorrelation coeff. for e: -0,044 estimated value of (a - 1): -0,554223 test statistic: tau_ct(1) = -2,98904 p-value 0,1495 P-values based on MacKinnon (JAE, 1996) Then I tested without Test down option but using lag order used by Test down option (i.e. zero). Here are the results: ADF test Order= 0 Const + trend included Dickey-Fuller tests for X sample size 36 unit-root null hypothesis: a = 1 with constant and trend model: (1 - L)y = b0 + b1*t + (a-1)*y(-1) + e 1st-order autocorrelation coeff. for e: -0,111 estimated value of (a - 1): -0,608096 test statistic: tau_ct(1) = -4,04436 p-value 0,01589 P-values based on MacKinnon (JAE, 1996) Test statistics are different i.e. with Test down option is -2,98904, and without -4,04436. Then I tested without Test down option but using one lag. Here are the results: ADF test Order =1 Const + trend included Augmented Dickey-Fuller tests, order 1, for X sample size 35 unit-root null hypothesis: a = 1 with constant and trend model: (1 - L)y = b0 + b1*t + (a-1)*y(-1) + ... + e 1st-order autocorrelation coeff. for e: -0,044 estimated value of (a - 1): -0,554223 test statistic: tau_ct(1) = -2,98904 asymptotic p-value 0,1352 P-values based on MacKinnon (JAE, 1996) As we can see, test statistic is the same as with Test down option...but used lags are not. This also can be seen by looking at sample sizes. With Test down optin lag order is o, sample size is 35 and test statistic is -2,98904 while without Test down sample size is 35, test statistic is -2,98904 but lag order is 1. Is it something wrong or not? Thnx _________________________________________________________________ Be the first to hear what's new at MSN - sign up to our free newsletters! http://www.msn.co.uk/newsletters