[Gretl-users] ADF test: tau statistic

[Charles Koss]

I am running a ADF test for a time series, what is the test statistic
tau? I understand that the null hypothesis is rejected when the
comparison is made with the critical values.

estimated value of (a - 1): -0.0673784
test statistic: tau = -1.63219

                      10%     5%     2.5%     1%
Critical values: -2.89   -3.19   -3.46   -3.77

Thanks,

Charles

-- 
Charles Koss