Search found 3 matches
- Wed Oct 15, 2014 4:48 pm
- Forum: General Information and Tips and Tricks
- Topic: Kao's panel cointegration tests
- Replies: 6
- Views: 11955
Re: Kao's panel cointegration tests
Is the insufficient number of observations statement in regards to the length of time series or the number of cross-sections? I am receiving the statement with the Kao tests but not with the Pedroni tests.
- Sat Apr 14, 2012 2:19 pm
- Forum: Estimation
- Topic: Unit Root Test
- Replies: 3
- Views: 4840
Re: Unit Root Test
Yes, I was unclear. What I mean to ask is in the Dickey-Fuller Unit Root Test which hypothesis is being tested? a=0 or p=1.
- Fri Apr 13, 2012 7:44 pm
- Forum: Estimation
- Topic: Unit Root Test
- Replies: 3
- Views: 4840
Unit Root Test
For the unit root test, what is the hypothesis being tested? Is it,
yt = pyt-1 + et
H0: p=1 v. Ha: p<1
or
Δyt = ayt-1 + et where a = p-1
H0: a=0 v. Ha: a<0
Thanks for any help!
yt = pyt-1 + et
H0: p=1 v. Ha: p<1
or
Δyt = ayt-1 + et where a = p-1
H0: a=0 v. Ha: a<0
Thanks for any help!