Hi all, I'm just beginning to learn how to write scripts in gretl, but couldn't you do something like this to get the different information criteria for a given ADF regression? (The data is from Greene, table 5_1) ------------------------ #[Script (badly written!) to display BIC, AIC and HQC values for different lags in an ADF test] matrix m = zeros(14,3)# [defines a matrix which will contain the different IC values, 14 being the number of lags to include] i=1 logs realgdp diff l_realgdp loop 14 # [tried adding a "progressive" tag here but gretl crashed when I did this] ols d_l_realgdp const l_realgdp(-1) d_l_realgdp(-1 to -i) # [the ADF regression (with constant but no trend)] m[i,1] = $bic m[i,2] = $aic m[i,3] = $hqc i=i+1 endloop print m # [prints a matrix with the BIC values in the first column, the AIC in the second and the HQC in the third] ------------------------------------------------------------ /Olle ------------------------------------ Allin Cottrell wrote: