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 T^0.6." 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))"