Greetings all,
With all the modesty at my disposal,
please may I make the offering that
integer differencing is a very blunt way
to make a data-set, stationary.
Furthermore any analysis done upon
the differenced data, is simply that;
namely, an analysis conducted upon data
that is not the original data-set.
Integer differencing induces
corruption to data.
Finally, GPH works very very selectively.
By this I mean that GPH only gives
an agreeable result with data that
GPH is amenable to.
If you get me.
If anyone is interested further,
I'll try to clarify further...
Meanwhile thankyou for reading so
far.
(Tanaka is very good reading. Thankyou
for pointing me to the paper).
Best regards from Richard Hudson
----- Original Message -----
Sent: Tuesday, August 10, 2010 9:04
PM
Subject: Re: [Gretl-users] LW estimator
and the GPH test
Reading "Tanaka - The nonstationary fractional unit root"
(1999) will help you --> see http://hermes-ir.lib.hit-u.ac.jp/rs/bitstream/10086/13409/1/0100701301.pdf
But
the power of the LWE and GPH is very low in comparison to Robinson's Lagrange
Multiplier Test or Lobato's Efficient Wald Test...
don't forget to
difference the time series because the tests in gretl are only valid for
stationary data.
Regards
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