Hi Henrique, If the test shows that you have a unit root, by definition, the residuals doesn't follow a random walk (white nose) and vice-versa. But if you really want to see the residuals, just run an AR(p) regression, by OLS, where p is the "augmented lag" (w/o truncation), then save the residuals.
Best, Ricardo From: Henrique Andrade Sent: Wednesday, April 07, 2010 4:49 PM To: [Gretl-users] Subject: [Gretl-users] Saving ADF Residuals Dear Gretl Community, Is it possible to save the residuals of the Augmented Dickey-Fuller (ADF) test regressions? I would like to save them to check if they follow a white noise process. Best, Henrique C. de Andrade Doutorando em Economia Aplicada Universidade Federal do Rio Grande do Sul www.ufrgs.br/ppge -------------------------------------------------------------------------------- _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users -------------------------------------------------------------------------------- Nenhum vírus encontrado nessa mensagem recebida. Verificado por AVG - www.avgbrasil.com.br Versão: 9.0.800 / Banco de dados de vírus: 271.1.1/2796 - Data de Lançamento: 04/07/10 03:32:00
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Hi Henrique,
If the test shows that you have a unit root, by
definition, the residuals doesn't follow a random walk (white nose) and
vice-versa.
But if you really want to see the residuals,
just run an AR(p) regression, by OLS, where p is the "augmented lag" (w/o
truncation), then save the residuals.
Best,
Ricardo
From: Henrique Andrade
Sent: Wednesday, April 07, 2010 4:49 PM
To: [Gretl-users]
Subject: [Gretl-users] Saving ADF Residuals Is it possible to save the residuals of the Augmented Dickey-Fuller (ADF) test regressions? I would like to save them to check if they follow a white noise process. Best, Henrique C. de Andrade Doutorando em Economia Aplicada Universidade Federal do Rio Grande do Sul www.ufrgs.br/ppge
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