unit root test

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lynda mizi
Posts: 3
Joined: Thu Feb 12, 2015 4:38 am

unit root test

Postby lynda mizi » Sun Jan 29, 2017 7:26 am

hi;
my question may be idiot but i can not take decision about my serie if it is differency stationary (and it is then I(2) without constant) or trend stationary and then I(1)
here are the results of ADF and PP tests. I made a df test on the trend wicth critical value à is 2.78 (5%)
ADF t-@rend=2.63<2.78
PP t-@trend= 3.65>2.78
joint hypotesis test : h06: F6=3.89<6.49 likelihood ratio statistics critical value at 5% on the dickey fuller table 1981 (page 1063)
the serie is in attachement and the programm of joint hypotesis test is as follow:

equation tib6.ls tib c tib(-1) d(tib(-1)) @trend
scalar scr6tib=@ssr
scalar ddl6tib=@regobs-@ncoef
genr dtib=tib-tib(-1)
equation tib6c.ls dtib c d(tib(-1))
scalar scrd6tib=@ssr
scalar f6tib=((scrd6tib-scr6tib)/2)/(scr6tib/ddl6tib)

please inswer me to be able to continue.
Attachments
tib.wf1
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lynda mizi
Posts: 3
Joined: Thu Feb 12, 2015 4:38 am

Re: unit root test

Postby lynda mizi » Mon Jan 30, 2017 1:18 am

Hello;
I didn't yet have an answer. I will be thankful if you do it.


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