Allin Cottrell, Make some adjust to the script but don't know does is there error
d1 d2 and d3 are different data series Want regress d1 against d2 and d3 without const The output would be a regress d1hat Do a adf on d1 - d1hat Use the bfgsmax to determine the coefficients of d2 and d3 maximising t from the adf of d1 - d11hat function scalar adf_t (matrix *b, series y, series d2, series d3) series d0 = y - (b[1]*d2 + b[2]*d3) adf 0 d0 --c --quiet scalar tau = $test return tau end function Using the above script gives a error The convergence criterion was not met Error executing script: halting
