F-statistic in Augmented Dickey Fuller test

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owen57
Posts: 5
Joined: Mon Mar 26, 2018 8:24 am

F-statistic in Augmented Dickey Fuller test

Postby owen57 » Fri Mar 30, 2018 2:15 am

Hello everyone,
I am having trouble calculating Fischer statistic in Eviews to test the hypotheses of the three models (None- Intercept- Trend) of Dickey Fuller test. According to a document I found, where they explicitly explain all the steps to do so,
Test de Dickey Fuller avec le logiciel EVIEWS.pdf
you can get the sum squared residuals directly from the ADF test, or by writing a small program. Normally you should obtain the same result. But when I applied it to my sample, the ADF test and the code lines gave me completely different results
Fischer.PNG
ADF.PNG
. Can somebody explain to me what's the difference, or whether my program is wrong somehow?

SMPL 7/25/2016 2/21/2018
GENR Y = ERREUR - ERREUR(-1)
LS Y C @trend(7/25/2016) ERREUR(-1)
SCALAR SCR3 = @SSR
SCALAR NDL = @REGOBS - @NCOEF
LS Y C
SCALAR SCR3C = @SSR
SCALAR F3 = ((SCR3C - SCR3)/2)/(SCR3/NDL)

Thank you so much.

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