Thanks Sven, you did answer my question: I tried to reproduce what you describe "by hand" and I come up with identical values as Gretl's ADF procedure. I was stupid not to figure it out by myself: of course we cannot compare AIC based on different sets of data. Just for completeness I include the example you asked for. All the best, Matteo PS: Here is the example k = 4: AIC = -324.082 k = 3: AIC = -325.356 k = 2: AIC = -327.350 _ k = 1: AIC = -329.349__ _ k = 0: AIC = -322.373 Augmented Dickey-Fuller test for IBO [...] Augmented Dickey-Fuller regression OLS, using observations 1974:3-1987:3 (T = 53) Dependent variable: d_IBO coefficient std. error t-ratio p-value ------------------------------------------------------- const 0.00994959 0.00667146 1.491 0.1421 IBO_1 −0.0686761 0.0415984 −1.651 0.4564 d_IBO_1 0.389366 0.124332 3.132 0.0029 *** _AIC: -345.238_ BIC: -339.327 HQC: -342.965 Il 16/06/2017 18:24, Sven Schreiber ha scritto: -- Matteo Pelagatti Department of Economics, Management and Statistics University of Milano-Bicocca Via Bicocca degli Arcimboldi, 8 20126 Milano Tel +39 02 6448.5834 http://www.statistica.unimib.it/utenti/p_matteo/