I didn't know about the small sample c=4. That's a great tip! Thanks,
On , Grzegorz Konat <grzegorz.konat(a)ibrkk.pl> wrote:
Schwert suggested l = c((T/100^(1/4)) with either c=4 for small
sample (T widely accepted for the KPSS test too.
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
So-called 'optimal' bandwidth is usually a function of
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.
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 !
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