Am 16.06.2017 um 13:00 schrieb Matteo Pelagatti:
Dear Gretl users and developers,
I noticed that the AIC used in the lag selection procedure of the ADF
test is different from the one reported under the regression results.
Also, the lag selection would be different if based on the regression's AIC.
My questions are:
"What formula is used for the selection procedure?",
"Why does it differ from the usual one?"
It might help if you could give a concrete example. Until then, my guess
is that this is the same issue as in Ignacio's question just now: In the
test-down procedure the (shortest) sample is kept fixed for all lags,
while in the end result all available obs are used, thus leading to
differences. This would not be gretl's fault.