ADF test in different versions

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cuccu
Posts: 7
Joined: Mon Apr 27, 2009 3:03 am

ADF test in different versions

Postby cuccu » Fri Apr 26, 2013 3:19 am

When I carry out unit root test for the natural logarithm of seasonally-smoothed-with-X12 quarterly real GDP with ADF test in Eviews 4.0 (Standard edition - Sep 4 2001), it shows that the series is stationary, but when I use the same ADF test in Eviews 5.0, it indicates the series is non-stationary.

I paste the data here so that some one could please explain me why. Thank you!

11.1785247845
11.194764406
11.2035893414
11.216808701
11.2426172196
11.2643211358
11.2710952144
11.28662326
11.3102961293
11.329976956
11.3464542283
11.359058002
11.3817306922
11.4027368585
11.4197721788
11.4384213181
11.4595098949
11.4851297033
11.504022988
11.5169012064
11.5367059286
11.5625586494
11.5838617601
11.5972186162
11.6172831929
11.6454288784
11.6641018755
11.6772991715
11.6969268817
11.7081962368
11.724039547
11.7255042221
11.7361246548
11.756433575
11.7725062001
11.791786461
11.801211873
11.8218475086
11.8413852579
11.8565009496
11.8594031597
11.8801828766
11.8986612526
11.9162012148
11.901988736
11.9275309294
11.9501166547
11.9697663151

EViews Glenn
EViews Developer
Posts: 2548
Joined: Wed Oct 15, 2008 9:17 am

Re: ADF test in different versions

Postby EViews Glenn » Fri Apr 26, 2013 10:37 am

The default ADF on your data for

EViews 4.1 (07/29/2004)
EViews 5.0 (08/03/2004)
EViews 7 (12/03/2012)
EViews 8 (04/16/2013)

are identical. Sounds as though something was fixed between 2001 and 2004.

[edit] Perhaps there wasn't a change. For kicks, I went back to EViews 3.1. EV3.1 didn't have automatic lag selection but using the same lag in the test equation I get the same statistic values. The critical values are differ slightly but I believe that's because in EViews 4.1 we used the newer critical value simulations. Bottom line is that at least for this specification, there are no appreciable differences between versions. What specifications are you using?

cuccu
Posts: 7
Joined: Mon Apr 27, 2009 3:03 am

Re: ADF test in different versions

Postby cuccu » Fri Apr 26, 2013 7:34 pm

Sorry, I used automatic lag selection for lag length in version 5. Big mistake
Thank you!

Aliraza35
Posts: 1
Joined: Sat Jan 09, 2016 2:52 am

Re: ADF test in different versions

Postby Aliraza35 » Sat Jan 09, 2016 3:18 am

i'm looking for how to perform the PLSR method in Eviews5
any help will be appreciated???


Ali


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