Inclusion of critical values in the ADF result print?
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I'm pretty new in the Gretl game so this might have been discussed before,
but anyhow: is there some way you can get Gretl to print out the Mackinnon
critical values which the ADF test is based on?
/Olle
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On Wed, 11 Jun 2008, Olle Olsson wrote:
I'm pretty new in the Gretl game so this might have been
discussed before, but anyhow: is there some way you can get
Gretl to print out the Mackinnon critical values which the ADF
test is based on?
Sorry, but I'm not quite sure what you're asking for here. Gretl
finds a p-value for the ADF test, and this can be retrieved using
the $pvalue accessor. For example,
adf 4 y
genr pv = $pvalue
print pv
If you want critical values for some chosen alpha, you'd need to
use the urcdist program from James MacKinnon:
http://econ.queensu.ca/faculty/mackinnon/numdist/
I hope this helps,
Allin Cottrell
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