The answer is simple: for the s variable no lags are included. Hence, there is no need to add lagged first difference(s). You can check this when you allow for lags and deactivate the automatic lag selection option. Best, Artur -original message- Subject: [Gretl-users] ADF Test From: "(s) Philip Braithwaite" <philip.braithwaite(a)students.plymouth.ac.uk&gt; Date: 18/02/2012 18:23 Hi, I've been running the ADF test for 2 variables, however when I view the regression results of the ADF test, it appears to perform it differently for each variable. The outputs for each variable are pasted below. The first one tests the differenced u variable against u_1 and d_u_1 (plus seasonal dummies), which you would expect for the test. However for s, it leaves out the d_s_1 element. I've found this happening with a number of other variables in different models. Is this still performing a correct ADF test or should I be doing something differently? Any information you could offer would be hugely appreciated Augmented Dickey-Fuller test for u including one lag of (1-L)u (max was 1) sample size 93 unit-root null hypothesis: a = 1 test with constant plus seasonal dummies model: (1-L)y = b0 + (a-1)*y(-1) + ... + e 1st-order autocorrelation coeff. for e: -0.023 estimated value of (a - 1): -0.121213 test statistic: tau_c(1) = -1.98793 asymptotic p-value 0.2924 Augmented Dickey-Fuller regression OLS, using observations 1980:03-1987:11 (T = 93) Dependent variable: d_u coefficient std. error t-ratio p-value --------------------------------------------------------- const 0.0512208 0.00498901 10.27 3.37e-016 *** u_1 -0.121213 0.0609744 -1.988 0.2924 d_u_1 -0.290699 0.106952 -2.718 0.0081 *** dm1 -0.0616078 0.00781483 -7.883 1.47e-011 *** dm2 -0.0914671 0.00835130 -10.95 1.64e-017 *** dm3 -0.0703498 0.00808719 -8.699 3.77e-013 *** dm4 -0.0598935 0.00699811 -8.559 7.09e-013 *** dm5 -0.0549386 0.00698092 -7.870 1.56e-011 *** dm6 -0.0216324 0.00692478 -3.124 0.0025 *** dm7 -0.0375700 0.00692756 -5.423 6.20e-07 *** dm8 -0.0733871 0.00660600 -11.11 8.23e-018 *** dm9 -0.0622728 0.00756849 -8.228 3.13e-012 *** dm10 -0.0360162 0.00685525 -5.254 1.23e-06 *** dm11 -0.0341986 0.00663768 -5.152 1.85e-06 *** AIC: -536.222 BIC: -500.766 HQC: -521.906 Dickey-Fuller test for s sample size 95 unit-root null hypothesis: a = 1 test with constant plus seasonal dummies model: (1-L)y = b0 + (a-1)*y(-1) + e 1st-order autocorrelation coeff. for e: -0.008 estimated value of (a - 1): -1.26693 test statistic: tau_c(1) = -11.9177 p-value 0.002828 Dickey-Fuller regression OLS, using observations 1980:02-1987:12 (T = 95) Dependent variable: d_s coefficient std. error t-ratio p-value --------------------------------------------------------- const 0.378700 0.0383446 9.876 1.31e-015 *** s_1 -1.26693 0.106307 -11.92 0.0028 *** dm1 -0.424225 0.0774678 -5.476 4.64e-07 *** dm2 -0.462089 0.0504077 -9.167 3.35e-014 *** dm3 -0.381479 0.0512581 -7.442 8.79e-011 *** dm4 -0.338558 0.0526217 -6.434 7.84e-09 *** dm5 -0.113624 0.0535687 -2.121 0.0369 ** dm6 -0.182175 0.0651366 -2.797 0.0064 *** dm7 -0.439919 0.0575612 -7.643 3.55e-011 *** dm8 -0.432768 0.0505549 -8.560 5.39e-013 *** dm9 -0.500302 0.0516082 -9.694 3.01e-015 *** dm10 -0.543976 0.0504374 -10.79 2.14e-017 *** dm11 -0.547869 0.0503964 -10.87 1.45e-017 *** AIC: -154.374 BIC: -121.173 HQC: -140.958 Thanks Philip Braithwaite _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users