Unit Root Test

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tgmoe
Posts: 5
Joined: Wed Dec 07, 2011 4:06 pm

Unit Root Test

Postby tgmoe » Fri Apr 13, 2012 7:44 pm

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!

startz
Non-normality and collinearity are NOT problems!
Posts: 3499
Joined: Wed Sep 17, 2008 2:25 pm

Re: Unit Root Test

Postby startz » Fri Apr 13, 2012 8:30 pm

Aren't those identical?

tgmoe
Posts: 5
Joined: Wed Dec 07, 2011 4:06 pm

Re: Unit Root Test

Postby tgmoe » Sat Apr 14, 2012 2:19 pm

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.

EViews Gareth
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Unit Root Test

Postby EViews Gareth » Sat Apr 14, 2012 4:52 pm

If a=p-1 then they're the same.
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