Thanks a lot for Schwert tip ! Samy
I didn't know about the small sample c=4. That's a great tip! Thanks, Greg.... Lee On , Grzegorz Konat <grzegorz.konat(a)ibrkk.pl> wrote: > > > > > > Schwert suggested l = c((T/100^(1/4)) with either c=4 for small > sample (T widely accepted for the KPSS test too. > > Cheers, > > Greg > > > > W dniu 2011-07-30 14:44, adkins.lee(a)gmail.com pisze: > I don't believe gretl doen not have a > --test-downoption in kernel estimation, which is what I believe > KPSS involves. > > > > So-called 'optimal' bandwidth is usually a function of sample > size. Some use rules like 0.75T^(1/3) or 4(T/100)^(2/9). I believe > that Schwert suggested 12((T+1)/100)^(1/4) in picking lags for ADF > tests. With respect to KPSS, I don't know. Longer means less bias > and less precision. Shorter more bias, but greater precision. > > > > Cheers, > > LA > > On , "samyto ..." wrote: > > > > > > > > > > > > > > > > > > Dear Gretl Users, > > > > > > My question concerns KPSS unit root test. After selecting my > serie and clicking on KPSS test; the default lag is set to 8. > > > How do I find the best lag for my test ? Is there an > automatic way to select it ? Is the default lag the best one ? > > > > > > > > > Thanks a lot for helping ! > > > > > > > > > Samy > > > > > > > > > > > > > > > > > > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users > > > > -- > Pozdrawiam, > Grzegorz Konat > > > > _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users
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Thanks a lot for Schwert tip !
Samy I didn't know about the small sample c=4. That's a great tip! Thanks, Greg.... Lee On , Grzegorz Konat <grzegorz.ko...@ibrkk.pl> wrote: > > > > > > Schwert suggested l = c((T/100^(1/4)) with either c=4 for small > sample (T widely accepted for the KPSS test too. > > Cheers, > > Greg > > > > W dniu 2011-07-30 14:44, adkins....@gmail.com pisze: > I don't believe gretl doen not have a > --test-downoption in kernel estimation, which is what I believe > KPSS involves. > > > > So-called 'optimal' bandwidth is usually a function of sample > size. Some use rules like 0.75T^(1/3) or 4(T/100)^(2/9). I believe > that Schwert suggested 12((T+1)/100)^(1/4) in picking lags for ADF > tests. With respect to KPSS, I don't know. Longer means less bias > and less precision. Shorter more bias, but greater precision. > > > > Cheers, > > LA > > On , "samyto ..." wrote: > > > > > > > > > > > > > > > > > > Dear Gretl Users, > > > > > > My question concerns KPSS unit root test. After selecting my > serie and clicking on KPSS test; the default lag is set to 8. > > > How do I find the best lag for my test ? Is there an > automatic way to select it ? Is the default lag the best one ? > > > > > > > > > Thanks a lot for helping ! > > > > > > > > > Samy > > > > > > > > > > > > > > > > > > _______________________________________________ > Gretl-users mailing list > gretl-us...@lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users > > > > -- > Pozdrawiam, > Grzegorz Konat > > > > _______________________________________________ Gretl-users mailing list gretl-us...@lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users |
