Thank you for your answer.
The problem is that according to Hamilton, the distribution of the test statistic for H0: p = 1 depends on the assumption made about the intercept.
Search found 4 matches
- Wed Sep 27, 2017 6:14 am
- Forum: Estimation
- Topic: Null hypothesis on intercept in unit root test
- Replies: 3
- Views: 6207
- Sat Sep 23, 2017 9:37 am
- Forum: Estimation
- Topic: Null hypothesis on intercept in unit root test
- Replies: 3
- Views: 6207
Null hypothesis on intercept in unit root test
Hello there! I would like to know what the null hypothesis on the intercept in an Augmented Dickey Fuller (ADF) unit root test in EViews is. When running an ADF test in EViews, there are three options a) no intercept and no trend b) intercept c) intercept and trend. If I'm not mistaken, Hamilton (19...
- Sat Apr 08, 2017 4:50 am
- Forum: Estimation
- Topic: AR-terms/Cochrane-Orcutt in models with panel data
- Replies: 2
- Views: 4838
- Tue Mar 28, 2017 8:03 am
- Forum: Estimation
- Topic: AR-terms/Cochrane-Orcutt in models with panel data
- Replies: 2
- Views: 4838
AR-terms/Cochrane-Orcutt in models with panel data
Dear all, I've got a question about the inclusion of ar-terms in a panel context. What I would like to do is a Cochrane-Orcutt estimation (or some similar method) with panel data. As far as I understood, Cochrane-Orcutt estimation is what EViews does when one includes ar-terms in a regression equati...