Augmented Dickey-Fuller Test - Need Urgent Help!

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Ausland2011
Posts: 3
Joined: Wed Apr 14, 2010 10:19 am

Augmented Dickey-Fuller Test - Need Urgent Help!

Postby Ausland2011 » Sun Apr 25, 2010 1:29 am

Hello,

In testing a variable for non-stationarity, I am not sure whether in the list of options of the ADF test I can drop the intercept in case it is not statistically significant (assuming the trend is already non significant). Therefore, in this case, I would select "none" in the list of options. Is this a correct procedure? Could anyone help me with this?

Thank you very much!

random_access
Posts: 29
Joined: Thu Apr 30, 2009 1:39 am

Re: Augmented Dickey-Fuller Test - Need Urgent Help!

Postby random_access » Wed Apr 28, 2010 5:24 am

hi there
i advice u to run the intercept and the trend since of time series data have either one of them if not both.
all the best


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