ADF tests and cointegration inquiry
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 Posts: 6
 Joined: Fri Oct 18, 2013 5:31 am
ADF tests and cointegration inquiry
I want to run this estimation :ls loggdp c loggdp(1) logdt(1) , where loggdp is calculated in excel as well as logdt which is the log of Debt/GDP. in this estimation I am asked to investigate whether there is a unit root(Dickey Fuller test) and cointegration. I wanted to ask you how to do this. Until now I found the residuals and then I made the latter tests but I dont think that my findings are correct. thank you in advance for your assistance.

 Posts: 202
 Joined: Tue Jul 17, 2012 9:47 am
Re: ADF tests and cointegration inquiry
User Guide II (EViews Eight)  p.471 for Unit Root tests and p.849 for cointegration testing. If you have any specific questions I'd be happy to help!

 Posts: 6
 Joined: Fri Oct 18, 2013 5:31 am
Re: ADF tests and cointegration inquiry
• yt = β0 + β1 yt1 + β2 dt1 + ε3t ,where yt = log(GDP) and dt= Debt /GDP
i want to test whether this has a unit root or not. all numbers are known except the disturbance term ofcourse .
i ran it with the ls command and then i cannot make the ADF test. I know we have to check when 1 β1L is 0 and i know the proceedures explained in the tutorials but the outcome isn't what i want.i dont wish to run an ADF test in log(gdp) and its lags soley and separately.
Am I using the wrong test or am I doing it wrong in the first place? What is the exact procedure that i must follow?
Apologies for any inconvenience and thank you again for your time.
i want to test whether this has a unit root or not. all numbers are known except the disturbance term ofcourse .
i ran it with the ls command and then i cannot make the ADF test. I know we have to check when 1 β1L is 0 and i know the proceedures explained in the tutorials but the outcome isn't what i want.i dont wish to run an ADF test in log(gdp) and its lags soley and separately.
Am I using the wrong test or am I doing it wrong in the first place? What is the exact procedure that i must follow?
Apologies for any inconvenience and thank you again for your time.

 Posts: 202
 Joined: Tue Jul 17, 2012 9:47 am
Re: ADF tests and cointegration inquiry
I am confused as to the question: You cannot run ADF tests on an equation, only on a series. Do you mean you want to run an ADF test on the residuals (some kind of Engle Granger 2 step approach to cointegration?), or do you want to run the test on the variables in your equation?

 Posts: 6
 Joined: Fri Oct 18, 2013 5:31 am
Re: ADF tests and cointegration inquiry
there is a test that refers to common unit root. I examined all the variables about unit roots and their differences but the question is whether i can come to a conclusion with this:
Null Hypothesis: Unit root (common unit root process)
Series: LOGGDP, LOGGDP(1), DEBT_GDP(1)
Sample: 1948 2014
Exogenous variables: None
Automatic selection of maximum lags
Automatic lag length selection based on SIC: 0 to 3
NeweyWest automatic bandwidth selection and Bartlett kernel
Total number of observations: 168
Crosssections included: 3
Method Statistic Prob.**
Levin, Lin & Chu t* 1.09171 0.8625
** Probabilities are computed assuming asymptotic normality
Intermediate results on GROUP01
2nd Stage Variance HAC of Max Band
Series Coefficient of Reg Dep. Lag Lag width Obs
LOGGDP 0.00141 0.0006 0.0115 3 10 6.0 63
LOGGDP(1) 0.00077 0.0006 0.0117 3 10 6.0 62
DEBT_GDP(1) 0.04755 0.0046 0.0123 0 9 4.0 43
Coefficient tStat SE Reg mu* sig* Obs
Pooled 0.00202 1.106 1.040 0.001 1.012 168
Thank you again.
P.S. Do I have homoskedasticity as an outcome from the following White test?
Heteroskedasticity Test: White
Fstatistic 1.348132 Prob. F(5,38) 0.2654
Obs*Rsquared 6.629071 Prob. ChiSquare(5) 0.2497
Scaled explained SS 7.754722 Prob. ChiSquare(5 0.1703
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 12/04/13 Time: 12:51
Sample: 1971 2014
Included observations: 44
Variable Coefficient Std. Error tStatistic Prob.
C 0.003738 0.008168 0.457620 0.6498
LOGGDP(1)^2 0.004030 0.005343 0.754221 0.4554
LOGGDP(1)*DEBT_GDP(1) 0.008353 0.008991 0.929021 0.3587
LOGGDP(1) 0.007409 0.013397 0.553049 0.5835
DEBT_GDP(1)^2 0.004253 0.003221 1.320443 0.1946
DEBT_GDP(1) 0.007545 0.012261 0.615422 0.5419
Rsquared 0.150661 Mean dependent var 0.000517
Adjusted Rsquared 0.038906 S.D. dependent var 0.000859
S.E. of regression 0.000842 Akaike info criterion 11.19575
Sum squared resid 2.69E05 Schwarz criterion 10.95245
Log likelihood 252.3065 HannanQuinn criter. 11.10553
Fstatistic 1.348132 DurbinWatson stat 1.678735
Prob(Fstatistic) 0.265444
Null Hypothesis: Unit root (common unit root process)
Series: LOGGDP, LOGGDP(1), DEBT_GDP(1)
Sample: 1948 2014
Exogenous variables: None
Automatic selection of maximum lags
Automatic lag length selection based on SIC: 0 to 3
NeweyWest automatic bandwidth selection and Bartlett kernel
Total number of observations: 168
Crosssections included: 3
Method Statistic Prob.**
Levin, Lin & Chu t* 1.09171 0.8625
** Probabilities are computed assuming asymptotic normality
Intermediate results on GROUP01
2nd Stage Variance HAC of Max Band
Series Coefficient of Reg Dep. Lag Lag width Obs
LOGGDP 0.00141 0.0006 0.0115 3 10 6.0 63
LOGGDP(1) 0.00077 0.0006 0.0117 3 10 6.0 62
DEBT_GDP(1) 0.04755 0.0046 0.0123 0 9 4.0 43
Coefficient tStat SE Reg mu* sig* Obs
Pooled 0.00202 1.106 1.040 0.001 1.012 168
Thank you again.
P.S. Do I have homoskedasticity as an outcome from the following White test?
Heteroskedasticity Test: White
Fstatistic 1.348132 Prob. F(5,38) 0.2654
Obs*Rsquared 6.629071 Prob. ChiSquare(5) 0.2497
Scaled explained SS 7.754722 Prob. ChiSquare(5 0.1703
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 12/04/13 Time: 12:51
Sample: 1971 2014
Included observations: 44
Variable Coefficient Std. Error tStatistic Prob.
C 0.003738 0.008168 0.457620 0.6498
LOGGDP(1)^2 0.004030 0.005343 0.754221 0.4554
LOGGDP(1)*DEBT_GDP(1) 0.008353 0.008991 0.929021 0.3587
LOGGDP(1) 0.007409 0.013397 0.553049 0.5835
DEBT_GDP(1)^2 0.004253 0.003221 1.320443 0.1946
DEBT_GDP(1) 0.007545 0.012261 0.615422 0.5419
Rsquared 0.150661 Mean dependent var 0.000517
Adjusted Rsquared 0.038906 S.D. dependent var 0.000859
S.E. of regression 0.000842 Akaike info criterion 11.19575
Sum squared resid 2.69E05 Schwarz criterion 10.95245
Log likelihood 252.3065 HannanQuinn criter. 11.10553
Fstatistic 1.348132 DurbinWatson stat 1.678735
Prob(Fstatistic) 0.265444

 Posts: 202
 Joined: Tue Jul 17, 2012 9:47 am
Re: ADF tests and cointegration inquiry
For the LevinLinChu Test (LLC) test:
H0: each time series contains a unit root
H1: each time series is stationary
Look at your pvalues and make your conclusion accordingly.
H0: each time series contains a unit root
H1: each time series is stationary
Look at your pvalues and make your conclusion accordingly.
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