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 From: Henrique Andrade Sent: Wednesday, April 07, 2010 4:49 PM To: [Gretl-users] 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 -------------------------------------------------------------------------------- _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users -------------------------------------------------------------------------------- Nenhum vírus encontrado nessa mensagem recebida. Verificado por AVG - www.avgbrasil.com.br Versão: 9.0.800 / Banco de dados de vírus: 271.1.1/2796 - Data de Lançamento: 04/07/10 03:32:00

Henrique, I would like to express the idea exactly as you wrote, but not in diffs. Generate the diffs you want, d_y(t-1) + d_y(t-2) + ... + d_y(t-p), the first lag and the constant, then use OLS againt d_y(t) and compute e(t) to do your test. The result will be the same as the pointed by Allin. Sorry for the mismatch. By the way, I did it in my Master thesis, for all the models considered by D-F and KPSS (no ct, ct, ct and trend and ct and trend^2). What exactly do you want with this procedure? I may have the tables you need... Ricardo. From: Henrique Andrade Sent: Thursday, April 08, 2010 2:16 AM To: Gretl list Subject: Re: [Gretl-users] Saving ADF Residuals Em 7 de julho 2010 Allin <cottrell(a)wfu.edu&gt; escreveu: On Wed, 7 Apr 2010, Henrique Andrade wrote: As matters stand, you have to formulate and run the ADF regression yourself to get access to the residuals. This goes for all auxiliary regressions run by gretl on behalf of diagnostic test commands: they do not create "first-class" models from which you could access $uhat, $ess and all the rest. This seems OK to me: if you want to investigate "second-order" aspects of the test that's fine, but you need to run the auxiliary regression yourself. The built-in diagnostic commands are just convenient short-cuts for procedures that are quite easily scripted in gretl. I've got your point and I think you are right. Thanks Allin! Em 8 de abril de 2010 Ricardo <ricardogs(a)terra.com.br&gt; escreveu: 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. Dear Ricardo, at first I would like to thank your for your answer! I'm interested in the residuals of the ADF test regression: d_y(t) = b0 + (a-1)*y(t-1) + d_y(t-1) + d_y(t-2) + ... + d_y(t-p) + e(t) This is because in the ADF test we need to choose p-lags in order to obtain residuals, e(t), that follow a white-noise process. Um abraço, Henrique -------------------------------------------------------------------------------- _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users -------------------------------------------------------------------------------- Nenhum vírus encontrado nessa mensagem recebida. Verificado por AVG - www.avgbrasil.com.br Versão: 9.0.800 / Banco de dados de vírus: 271.1.1/2797 - Data de Lançamento: 04/07/10 15:32:00

Sven, No, I never saw his data. But I have the results for lots of Monte Carlo designs. In my view, this kind of analysis are aimed to validate the asymptotic distributions of the regressions' residuals derived from the Wiener Process (or Brownian Motion). So the motion law is valid for all DGP, including the Henriques's data. Or I'm wrong? Ricardo. -------------------------------------------------- From: "Sven Schreiber" <svetosch(a)gmx.net&gt; Sent: Thursday, April 08, 2010 5:41 AM To: "Gretl list" <gretl-users(a)lists.wfu.edu&gt; Subject: Re: [Gretl-users] Saving ADF Residuals

Em 8 de abril de 2010 03:14, Ricardo Gonçalves Silva <ricardogs(a)terra.com.br (...) Em 8 de abril de 2010 Sven <svetosch(a)gmx.net To me it just sounded that he wanted to make sure the residuals of his I want exactly what Sven described ;-) Once again, thank you for your attention! Um abraço, Henrique