2:41 p.m.
Hello GRETL users:
Is there an implementation of the Perron test for unit roots in GRETL?
on the menu, I see the following tests adf, adf-gls, and KPSS. The
Perron test is not in the menu; are there reasons for not using it?
Thanks,
--
Charles
4:03 p.m.
Hi,
Which Perron test? If you are thinking in the GLS-Detrended test, you want
the ADF-GLS test.
Rick
--------------------------------------------------
From: "Charles Koss" <hqtiger(a)gmail.com>
Sent: Tuesday, December 15, 2009 12:41 PM
To: "Gretl list" <gretl-users(a)lists.wfu.edu>
Subject: [Gretl-users] Perron test for unit roots in GRETL
Hello GRETL users:
Is there an implementation of the Perron test for unit roots in GRETL?
on the menu, I see the following tests adf, adf-gls, and KPSS. The
Perron test is not in the menu; are there reasons for not using it?
Thanks,
--
Charles
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4:09 p.m.
Ricardo, I mean the Phillips-Perron Test for Unit Roots. thanks.
Charles
2009/12/15 Ricardo Gonçalves Silva <ricardogs(a)terra.com.br>:
Hi,
Which Perron test? If you are thinking in the GLS-Detrended test, you want
the ADF-GLS test.
Rick
--------------------------------------------------
From: "Charles Koss" <hqtiger(a)gmail.com>
Sent: Tuesday, December 15, 2009 12:41 PM
To: "Gretl list" <gretl-users(a)lists.wfu.edu>
Subject: [Gretl-users] Perron test for unit roots in GRETL
> Hello GRETL users:
>
> Is there an implementation of the Perron test for unit roots in GRETL?
>
> on the menu, I see the following tests adf, adf-gls, and KPSS. The
> Perron test is not in the menu; are there reasons for not using it?
>
> Thanks,
>
>
> --
> Charles
> _______________________________________________
> Gretl-users mailing list
> Gretl-users(a)lists.wfu.edu
> http://lists.wfu.edu/mailman/listinfo/gretl-users
>
>
> No virus found in this incoming message.
> Checked by AVG - www.avg.com
> Version: 9.0.716 / Virus Database: 270.14.108/2566 - Release Date:
> 12/15/09 05:52:00
>
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--
Charles
6:35 p.m.
Charles Koss schrieb:
Ricardo, I mean the Phillips-Perron Test for Unit Roots. thanks.
Not quite the perfect answer, but if you have R installed, you can do:
*file menu -> script files -> new script -> R script
*and type (only the inner two lines ;-):
<R-script>
testedvar <- gretldata[,"yourvarname"]
PP.test(testedvar)
</R-script>
>> Is there an implementation of the Perron test for unit roots
in GRETL?
>>
>> on the menu, I see the following tests adf, adf-gls, and KPSS. The
>> Perron test is not in the menu; are there reasons for not using it?
>>
There are many more unit root tests out there, it's kind of arbitrary
which ones to include natively I guess. IMO this is a good case for a
user-contributed function package, porting from the R code or from
http://ideas.repec.org/c/boc/bocode/t871805.html or from wherever.
cheers,
sven
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3 comments
3 participants
participants (3)
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Charles Koss -
Ricardo Gonçalves Silva -
Sven Schreiber