Elliot- Rothenberg-Stock unit root test

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iliasvalasop
Posts: 6
Joined: Fri Oct 18, 2013 5:31 am

Elliot- Rothenberg-Stock unit root test

Postby iliasvalasop » Sat Dec 07, 2013 12:01 pm

I was asked to to a more powerful unit root test on my data than ADF and Phillips-Perron.
Elliot- Rothenberg-Stock unit root test was the one pointed out and I was reading carefully the User Guide2 but i didn't find out what my results mean, because I am not familiar to the test.
this is the table:

Null Hypothesis: LOGGDP has a unit root
Exogenous: Constant
Lag length: 1 (Spectral OLS AR based on SIC, maxlag=10)
Sample: 1948 2014
Included observations: 67

P-Statistic

Elliott-Rothenberg-Stock test statistic 1603.793
Test critical values: 1% level 1.897200
5% level 3.017600
10% level 3.998400

*Elliott-Rothenberg-Stock (1996, Table 1)

HAC corrected variance (Spectral OLS autoregression) 0.000986

Is ther a unit root or not??

Thank you so much for your time once again

playboy
Posts: 1
Joined: Fri Dec 19, 2014 5:24 am

Re: Elliot- Rothenberg-Stock unit root test

Postby playboy » Fri Dec 19, 2014 5:29 am

Why there is nobody answers this question?

trubador
Did you use forum search?
Posts: 1518
Joined: Thu Nov 20, 2008 12:04 pm

Re: Elliot- Rothenberg-Stock unit root test

Postby trubador » Fri Dec 19, 2014 6:55 am

Reasons of not getting an answer may vary depending on the question. For this particular one, however, the answer is (was) already in the output so there is nothing to say other than a simple Yes or No. Since null hypothesis, test statistic and critical values are all you need to decide whether a series has a unit root, I prefer user(s) to figure out the answer on their own for the sake of learning process.


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