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, 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 . 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.
For questions regarding programming in the EViews programming language.
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