How to interpret the three ADF specification equations?
Posted: Tue May 08, 2018 3:10 am
Hi everyone,
I have tested gdp gap for stationarity using ADF test (non, and with only intercept). However, it has a unit root when accounting for trend and intercept. Does that means it is I(0) or (0)? Should I consider differentiating it?
On the same note, is differentiating the sole method to solve non-stationarity, or can one de-trend a time series?
P.S. differentiating using eviews itself did not result in changes in the multi regression estimation results. Therefore, I did the differentiated the data manually on excel.
thanks,
Amir,
I have tested gdp gap for stationarity using ADF test (non, and with only intercept). However, it has a unit root when accounting for trend and intercept. Does that means it is I(0) or (0)? Should I consider differentiating it?
On the same note, is differentiating the sole method to solve non-stationarity, or can one de-trend a time series?
P.S. differentiating using eviews itself did not result in changes in the multi regression estimation results. Therefore, I did the differentiated the data manually on excel.
thanks,
Amir,