dickey fuller test

[jasil]

hi, i'm practically starting a course of econometry and have some doubts about the interpretation of the resoults obtained with E views. My question is: how should i interpret the resoult given by E views for the Dickey Fuller test? for what I know this test should serve to state wheter a serie is random walk or not, so, if I have the figure relative to this test how do I know when to reject the null hipotesis? what is the criteria? do i have to compare it with some stated table or it is possible to state a conclusion with the resources given by E views?
thanks a lot

[sbarnhar]

I would suggest you read about unit root tests to start, however, below is some output for a DF test. The null is, as stated below, that my variable ALLCBI has a unit root or is very loosely speaking a random walk (RW), but note a RW is more restrictive in its distributional characteristics. The test shows that for my variable and the lag length chosen by eviews that the stat is -16.15 and the p-value is 0.0, which means very significantly we reject the null, ie the -16 is larger than all the critical values that eviews lists below, even the 1% level. So the conclusion is that ALLCBI does not have a unit root, is not a RW. Do note that these tests have low power, and are sensitive to lag length. Hope this helps.


[Null Hypothesis: ALLCBI has a unit root
Exogenous: Constant
Lag Length: 9 (Automatic based on SIC, MAXLAG=34)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -16.15941 0.0000
Test critical values: 1% level -3.431124
5% level -2.861767
10% level -2.566933

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


Augmented Dickey-Fuller Test Equation
Dependent Variable: D(ALLCBI)
Method: Least Squares
Date: 06/07/10 Time: 16:42
Sample (adjusted): 6/16/1980 10/10/2006
Included observations: 6866 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

ALLCBI(-1) -0.331418 0.020509 -16.15941 0.0000
D(ALLCBI(-1)) -0.528869 0.021468 -24.63505 0.0000
D(ALLCBI(-2)) -0.392400 0.021843 -17.96453 0.0000
D(ALLCBI(-3)) -0.288817 0.021707 -13.30510 0.0000
D(ALLCBI(-4)) -0.264119 0.021232 -12.43972 0.0000
D(ALLCBI(-5)) -0.138322 0.020707 -6.679959 0.0000
D(ALLCBI(-6)) -0.141147 0.019489 -7.242268 0.0000
D(ALLCBI(-7)) -0.109642 0.018073 -6.066698 0.0000
D(ALLCBI(-8)) -0.078947 0.015873 -4.973712 0.0000
D(ALLCBI(-9)) -0.082195 0.012037 -6.828405 0.0000
C 0.001014 0.003803 0.266536 0.7898

R-squared 0.439409 Mean dependent var 0.000000
Adjusted R-squared 0.438591 S.D. dependent var 0.420522
S.E. of regression 0.315086 Akaike info criterion 0.529656
Sum squared resid 680.5573 Schwarz criterion 0.540606
Log likelihood -1807.310 Hannan-Quinn criter. 0.533433
F-statistic 537.3169 Durbin-Watson stat 2.000175
Prob(F-statistic) 0.000000