Good morning:
My name is José Perles. I'm researcher of the University of Alicante
(Spain) Applied Economics Analysis Department (Honorific Collaborator at
this moment).
I'm doing a unit root test ADF with Gretl, R and Eviews on a serie of
tourism market share of Spain specified with constant and trend.
By comparing the results with Eviews or R (package fUnitRoot) I get the
same t-statistic, but although all programs indicate that the critical
values are McKinnon (1996) MacKinnon, J. G. (1996) "Numerical
distribution functions for unit root and cointegration tests", Journal of
Applied Econometrics 11: 601-618 p-values of the test are very different
in either case .
Gretl: t = -3.62 p-value 0.02 asymptotic
Eviews t = -3.62 p-value (one-sided) = 0.04 which is the same value
obtained in R.
I know that obtain similar values with different software is very strange.
But this difference is normal?
At what may be due, one side p-value of Eviews or fUnitRoots are for finite
sample, or Gretl p-value is two-sided?
Thanks in advance and sorry for any inconvenience.
José F. Perles
University of Alicante
Spain
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