I don't believe gretl doen not have a --test-downoption in kernel estimation, which is what I believe KPSS involves. So-called 'optimal' bandwidth is usually a function of sample size. Some use rules like 0.75T^(1/3) or 4(T/100)^(2/9). I believe that Schwert suggested 12((T+1)/100)^(1/4) in picking lags for ADF tests. With respect to KPSS, I don't know. Longer means less bias and less precision. Shorter more bias, but greater precision. Cheers, LA On , "samyto ..." <samyto(a)hotmail.fr&gt; wrote: > > > > > > Dear Gretl Users, > > My question concerns KPSS unit root test. After selecting my serie and clicking on KPSS test; the default lag is set to 8. > How do I find the best lag for my test ? Is there an automatic way to select it ? Is the default lag the best one ? > > > Thanks a lot for helping ! > > > Samy > > > > _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users

Schwert suggested l = c((T/100^(1/4)) with either c=4 for small sample (T widely accepted for the KPSS test too. Cheers, Greg W dniu 2011-07-30 14:44, adkins.lee(a)gmail.com pisze: I don't believe gretl doen not have a --test-downoption in kernel estimation, which is what I believe KPSS involves. So-called 'optimal' bandwidth is usually a function of sample size. Some use rules like 0.75T^(1/3) or 4(T/100)^(2/9). I believe that Schwert suggested 12((T+1)/100)^(1/4) in picking lags for ADF tests. With respect to KPSS, I don't know. Longer means less bias and less precision. Shorter more bias, but greater precision. Cheers, LA On , "samyto ..." wrote: > > > > > > Dear Gretl Users, > > My question concerns KPSS unit root test. After selecting my serie and clicking on KPSS test; the default lag is set to 8. > How do I find the best lag for my test ? Is there an automatic way to select it ? Is the default lag the best one ? > > > Thanks a lot for helping ! > > > Samy > > > > _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users -- Pozdrawiam, Grzegorz Konat

Dear All, Using Hansl language we have: scalar lag_short = int(4*($nobs/100)^(1/4)) scalar lag_long = int(12*($nobs/100)^(1/4)) Best, Henrique 2011/7/30 samyto ... <samyto(a)hotmail.fr&gt; Thanks a lot for Schwert tip ! > > Samy > > > > > I didn't know about the small sample c=4. That's a great tip! Thanks, > Greg.... > > Lee > > On , Grzegorz Konat <grzegorz.konat(a)ibrkk.pl&gt; wrote: > > > > > > > > > > > > Schwert suggested l = c((T/100^(1/4)) with either c=4 for small > > sample (T widely accepted for the KPSS test too. > > > > Cheers, > > > > Greg > > > > > > > > W dniu 2011-07-30 14:44, adkins.lee(a)gmail.com pisze: > > I don't believe gretl doen not have a > > --test-downoption in kernel estimation, which is what I believe > > KPSS involves. > > > > > > > > So-called 'optimal' bandwidth is usually a function of sample > > size. Some use rules like 0.75T^(1/3) or 4(T/100)^(2/9). I believe > > that Schwert suggested 12((T+1)/100)^(1/4) in picking lags for ADF > > tests. With respect to KPSS, I don't know. Longer means less bias > > and less precision. Shorter more bias, but greater precision. > > > > > > > > Cheers, > > > > LA > > > > On , "samyto ..." wrote: > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > Dear Gretl Users, > > > > > > > > > > My question concerns KPSS unit root test. After selecting my > > serie and clicking on KPSS test; the default lag is set to 8. > > > > > How do I find the best lag for my test ? Is there an > > automatic way to select it ? Is the default lag the best one ? > > > > > > > > > > > > > > > Thanks a lot for helping ! > > > > > > > > > > > > > > > Samy > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > _______________________________________________ > > Gretl-users mailing list > > Gretl-users(a)lists.wfu.edu > > http://lists.wfu.edu/mailman/listinfo/gretl-users > > > > > > > > -- > > Pozdrawiam, > > Grzegorz Konat > > > > > > > > > _______________________________________________ Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users > > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users > -- *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