I(2) vs I(1) test on first difference?

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SJ27
Posts: 1
Joined: Mon May 30, 2011 2:06 am

I(2) vs I(1) test on first difference?

Postby SJ27 » Mon May 30, 2011 2:16 am

Hi,
Possibly this is a very dumb question so forgive me. I am doing an assignment where we have been asked to use ADF to test for I(1) on both log(x) and the first difference of log(x), and then to test for I(2) on log(x). From what I can understand from our course notes, the command for both of the last-mentioned is the same thing? or have I missed something crucial?

Thanks in advance

econometricsI
Posts: 5
Joined: Mon May 30, 2011 7:56 am

Re: I(2) vs I(1) test on first difference?

Postby econometricsI » Mon May 30, 2011 5:16 pm

I(1) is a first difference process and I(2) is a second difference. Select 1st difference in ADF for I(1) and 2nd difference for I(2). I am also doing an assignment and have to test for I(1) on log of two series.

Does any of series have trend? Would you know how to decide if trend should be kept or not? One of my series seems to have trend


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