Unit Root testing with ADF, help required

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kstanza
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Joined: Tue Mar 13, 2012 7:54 am

Unit Root testing with ADF, help required

Postby kstanza » Thu Mar 15, 2012 3:55 am

I have 2 sets of data, one is over a weekly period whilst the other is over a monthly period. both sets of data are for libor rates.
i have performed the ADF unit root test on one set of data, but i was wondering if i need to do it for the other set and surely as they are both the same type of data they should be related and so if i test one set then the other should be the same right?

also, how do i tell which model to use (intercept, trend and intercept and none) at level and 1st difference?
any help on how to interpret the data given by the ADF test would also help

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