Urgent please answer ! Augmented Dickey-Fuller Test - Day of the week effect

[Joshita_22]

Hello Everyone,

I am working on my dissertation and i need help regarding ADF test.

Can someone guide me as to how to perform an Augmented Dickey Fuller Test using Day of the week effect ?

I need my results as attached image.

It's urgent, thank you a lot.

[pitsi]

Dear all,

Could you please help me with my confusion on unit root critical values?
The fact that the ADF t-stat is smaller than the critical value at 5% indicates rejection of the null but what about the critical value at 1% level of significance? In the case below it indicates that null cannot be rejected and first differences should be tested, right? So which one should I account? Although I ve searched the forum for answers I couldnt find something relevant, so apologies if a post has skipped.


Null Hypothesis: L_IT_EV has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 1 (Automatic - based on SIC, maxlag=15)

t-Statistic Prob.
Augmented Dickey-Fuller test statistic -3.655053 0.0272
Test critical values: 1% level -3.992933
5% level -3.426809
10% level -3.136666

*MacKinnon (1996) one-sided p-values.

Thank you very very much for your time in advance!

[startz]

Dear all,

Could you please help me with my confusion on unit root critical values?
The fact that the ADF t-stat is smaller than the critical value at 5% indicates rejection of the null but what about the critical value at 1% level of significance? In the case below it indicates that null cannot be rejected and first differences should be tested, right? So which one should I account? Although I ve searched the forum for answers I couldnt find something relevant, so apologies if a post has skipped.


Null Hypothesis: L_IT_EV has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 1 (Automatic - based on SIC, maxlag=15)

t-Statistic Prob.
Augmented Dickey-Fuller test statistic -3.655053 0.0272
Test critical values: 1% level -3.992933
5% level -3.426809
10% level -3.136666

*MacKinnon (1996) one-sided p-values.

Thank you very very much for your time in advance!

This is no different than any other statistical test. There is strong evidence (5%) against the null hypothesis but not very strong (1%) evidence against it. So there is probably not a unit root.

[pitsi]

Dear all,

Could you please help me with my confusion on unit root critical values?
The fact that the ADF t-stat is smaller than the critical value at 5% indicates rejection of the null but what about the critical value at 1% level of significance? In the case below it indicates that null cannot be rejected and first differences should be tested, right? So which one should I account? Although I ve searched the forum for answers I couldnt find something relevant, so apologies if a post has skipped.


Null Hypothesis: L_IT_EV has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 1 (Automatic - based on SIC, maxlag=15)

t-Statistic Prob.
Augmented Dickey-Fuller test statistic -3.655053 0.0272
Test critical values: 1% level -3.992933
5% level -3.426809
10% level -3.136666

*MacKinnon (1996) one-sided p-values.

Thank you very very much for your time in advance!

This is no different than any other statistical test. There is strong evidence (5%) against the null hypothesis but not very strong (1%) evidence against it. So there is probably not a unit root.

Thank you very much for the reply.