Re: [Gretl-users] test-down option reports different results in adf

Am 06.06.2015 um 18:34 schrieb Allin Cottrell: > On Thu, 4 Jun 2015, Koray Simsek wrote: > >> Dear Allin, >> >> I am sorry that the two lines I sent in my original post do not replicate >> the issue in the current snapshot as they were run in an older gretl >> where >> MAIC was used as the test-down criteria and selected a smaller lag value >> for test-down in LRM. >> >> Sven explained my point perfectly. If you run ADF for LRY (not LRM) as >> follows, you'll notice that AIC below the regression output is different >> from the AIC for k=0 in the test-down procedure. This is because the >> regression is run on the full-sample whereas the test-down is done for >> the >> lag 5 compatible sample. > > OK, thanks, now I see. This should be fixed in current CVS and snapshots. And which of the two samples is used now, starting at t0 + maxlag or at t0 + bestlag?