Not sure why the p-values are different, but a slight observation...

If you are using the ADF "t-test", then the test is a left-tail test. It 
doesn't make sense to use a two-tail test. Ie. No 2 tail tests. No 
2-sided p-values.

Also, I don't think the "t-test"'s sampling distribution under the I(1) 
null is symmetric. Hence, the doubling of the p-value should not be 
because GRETL is doing a two-sided test.

As an aside, may I recommend the article:

Testing for Unit Roots: What Should Students Be Taught?
John Elder and Peter E. Kennedy
The Journal of Economic Education , Vol. 32, No. 2 (Spring, 2001), pp. 
137-146
Published by: Taylor & Francis, Ltd.
Article Stable URL: http://www.jstor.org/stable/1183489

Very helpful.


On 09/14/2012 12:00 PM, r-sig-finance-request@r-project.org wrote:
> Comparing pvalues in ADF test in Gretl
> 	fUnitRoots	and Eviews


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