confused about adf test equation

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samettand
Posts: 3
Joined: Thu Jul 05, 2012 2:34 am
Location: Istanbul / TURKEY

confused about adf test equation

Postby samettand » Mon Dec 16, 2013 2:17 pm

my series names are LT and RE

with constant: LT and RE are NOT stationary[Constant term insignificant]
with constant and trend LT and RE are stationary( p value=0.0001) [ constant term and trend significant]

those series have unit root or not? how can i decide?

samettand
Posts: 3
Joined: Thu Jul 05, 2012 2:34 am
Location: Istanbul / TURKEY

Re: confused about adf test equation

Postby samettand » Tue Dec 17, 2013 5:29 am

here is my results, please help me.

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(LT)
Exogenous: Constant
LT(-1) -0.026234 0.026585 -0.986770 0.3248
D(LT(-1)) -0.454054 0.067348 -6.741852 0.0000
D(LT(-2)) -0.030725 0.073069 -0.420490 0.6745
D(LT(-3)) -0.015503 0.072202 -0.214724 0.8302
D(LT(-4)) -0.107785 0.071098 -1.516012 0.1308
D(LT(-5)) 0.008676 0.071406 0.121499 0.9034
D(LT(-6)) -0.079415 0.070451 -1.127227 0.2608
D(LT(-7)) -0.140874 0.069535 -2.025951 0.0439
D(LT(-8)) -0.020725 0.068782 -0.301322 0.7634
D(LT(-9)) 0.018830 0.068712 0.274041 0.7843
D(LT(-10)) -0.174154 0.068581 -2.539392 0.0117
D(LT(-11)) -0.146139 0.068532 -2.132421 0.0340
D(LT(-12)) 0.202314 0.068800 2.940609 0.0036
D(LT(-13)) -0.030915 0.070026 -0.441479 0.6593
D(LT(-14)) -0.158159 0.069103 -2.288744 0.0230
D(LT(-15)) -0.136938 0.069928 -1.958274 0.0514
D(LT(-16)) -0.038602 0.070332 -0.548850 0.5836
D(LT(-17)) -0.131090 0.063050 -2.079138 0.0387
C 0.222264 0.201411 1.103534 0.2709

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(LT)
Exogenous: Constant, Linear Trend
LT(-1) -0.266539 0.061746 -4.316685 0.0000
D(LT(-1)) -0.272038 0.076355 -3.562816 0.0004
D(LT(-2)) 0.127987 0.077934 1.642239 0.1018
D(LT(-3)) 0.133874 0.075780 1.766608 0.0785
D(LT(-4)) 0.063225 0.073676 0.858151 0.3916
D(LT(-5)) 0.126177 0.073375 1.719617 0.0868
D(LT(-6)) 0.062246 0.073140 0.851061 0.3956
D(LT(-7)) 0.013914 0.071444 0.194753 0.8457
D(LT(-8)) 0.110108 0.070254 1.567295 0.1183
D(LT(-9)) 0.138987 0.070034 1.984565 0.0483
D(LT(-10)) -0.045080 0.069130 -0.652107 0.5149
D(LT(-11)) -0.033332 0.068822 -0.484317 0.6286
D(LT(-12)) 0.292415 0.068396 4.275343 0.0000
D(LT(-13)) 0.096521 0.062294 1.549449 0.1226
C 1.652985 0.380606 4.343032 0.0000
@TREND(1990M01) 0.002606 0.000664 3.924754 0.0001


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