Thanks Stefan for your reply and your recommendation, I have read it yet
and its very interesting. But investigating a more litle, I have found that
the difference is due that Gretl uses the asymptotic critical value of
MacKinnon (1996) and Eviews and fUnitRoots R-Package gives the critical
value of response surface for finite samples. However, the article of
MacKinnon (1996) suggests (if I understand correctly), that the values
computed for finite sample, it should only be used only in the DF test
and not for ADF augmented as is done in Eviews. Is this correct?.
Thsnks in advance.
José F. Perles
University of Alicante
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