1:04 p.m.
On Thu, 17 Mar 2011, Henrique Andrade wrote:
I would suggest a change in the ADF test (through the GUI). When
Gretl asks
for the lag order I think it would be nice to put a default value for the
lag order (also leaving the option "test down from maximum lag order")
selected by default.
Looking at EViews (ADF test) and R (Phillips-Perron test), I'd discovered
that they use the following default, as suggested by Schwert (Tests for Unit
Roots: A Monte Carlo Investigation, Journal of Business & Economic
Statistics, 1989, p.9):
*scalar adf_lag = int(12*($nobs/100)^(1/4))*
I'm not opposed to doing something like that. What do others
think? (Right now we just offer a default of 1 for the ADF
lag-length, and leave it up to the user to raise the order, and to
select the option of testing down from some maximum order.)
Allin Cottrell
1:34 p.m.
New subject: Lag Order for ADF Test
Dear Allin,
Probably a year ago you posted script to test max lag in ADF using
AIC or BIC or HQC criteria. I have trouble locating it the group archive.
Can you dig this out ? I would be very grateful.
All the best,
Davor
On 18.3.2011. 14:04, Allin Cottrell wrote:
On Thu, 17 Mar 2011, Henrique Andrade wrote:
> I would suggest a change in the ADF test (through the GUI). When Gretl asks
> for the lag order I think it would be nice to put a default value for the
> lag order (also leaving the option "test down from maximum lag order")
> selected by default.
>
> Looking at EViews (ADF test) and R (Phillips-Perron test), I'd discovered
> that they use the following default, as suggested by Schwert (Tests for Unit
> Roots: A Monte Carlo Investigation, Journal of Business& Economic
> Statistics, 1989, p.9):
>
> *scalar adf_lag = int(12*($nobs/100)^(1/4))*
I'm not opposed to doing something like that. What do others
think? (Right now we just offer a default of 1 for the ADF
lag-length, and leave it up to the user to raise the order, and to
select the option of testing down from some maximum order.)
Allin Cottrell
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6:13 p.m.
New subject: Lag Order for ADF Test
Yes, I agree with Davor Horvatic: It would be great to have the script.
However, if Gretl´s menu could be improved, I think something like AIC, SBC,
HQ (like Eviews) criteria for doing this would be great.
Thanks for your time and attention,
Claudio
On Fri, Mar 18, 2011 at 10:34 AM, Davor Horvatic <davorh(a)phy.hr> wrote:
Dear Allin,
Probably a year ago you posted script to test max lag in ADF using
AIC or BIC or HQC criteria. I have trouble locating it the group archive.
Can you dig this out ? I would be very grateful.
All the best,
Davor
On 18.3.2011. 14:04, Allin Cottrell wrote:
> On Thu, 17 Mar 2011, Henrique Andrade wrote:
>
>> I would suggest a change in the ADF test (through the GUI). When Gretl
asks
>> for the lag order I think it would be nice to put a default value for
the
>> lag order (also leaving the option "test down from maximum lag
order")
>> selected by default.
>>
>> Looking at EViews (ADF test) and R (Phillips-Perron test), I'd
discovered
>> that they use the following default, as suggested by Schwert (Tests for
Unit
>> Roots: A Monte Carlo Investigation, Journal of Business& Economic
>> Statistics, 1989, p.9):
>>
>> *scalar adf_lag = int(12*($nobs/100)^(1/4))*
> I'm not opposed to doing something like that. What do others
> think? (Right now we just offer a default of 1 for the ADF
> lag-length, and leave it up to the user to raise the order, and to
> select the option of testing down from some maximum order.)
>
> Allin Cottrell
>
> _______________________________________________
> Gretl-users mailing list
> Gretl-users(a)lists.wfu.edu
> http://lists.wfu.edu/mailman/listinfo/gretl-users
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2:23 p.m.
New subject: Lag Order for ADF Test
Em 18 de março de 2011 Allin escreveu:
On Thu, 17 Mar 2011, Henrique Andrade wrote:
> I would suggest a change in the ADF test (through the GUI). When Gretl
asks
> for the lag order I think it would be nice to put a default value for the
> lag order (also leaving the option "test down from maximum lag order")
> selected by default.
>
> Looking at EViews (ADF test) and R (Phillips-Perron test), I'd
discovered
> that they use the following default, as suggested by Schwert (Tests for
Unit
> Roots: A Monte Carlo Investigation, Journal of Business & Economic
> Statistics, 1989, p.9):
>
> *scalar adf_lag = int(12*($nobs/100)^(1/4))*
I'm not opposed to doing something like that. What do others
think? (Right now we just offer a default of 1 for the ADF
lag-length, and leave it up to the user to raise the order, and to
select the option of testing down from some maximum order.)
Dear Allin, today I realized that Gretl are using the Schwert's suggestion
to choose
the maximum lag length. Thanks for implementing this!
I would like to suggest to put this information into the Gretl-help. In the
fractional
integration test help we have:
"If the optional order argument is not given the order for the test(s) is
set automatically
as the lesser of T/2 and T0.6."
So I think it would be nice if we could put something like that into the
ADF's help:
"If the lag order argument is not given the order for the test is set
automatically as
suggested by Schwert (1989):
Max ADF lag = int(12*($nobs/100)^(1/4))"
Best regards,
*Henrique C. de Andrade*
Doutorando em Economia Aplicada
Universidade Federal do Rio Grande do Sul
www.ufrgs.br/ppge
4775
days inactive
4788
days old
3 comments
4 participants
participants (4)
-
Allin Cottrell -
Claudio Shikida (敷田治誠 クラウジオ) -
Davor Horvatic -
Henrique Andrade