Help with ADF test !

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nubbey554
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Joined: Mon May 19, 2014 6:55 pm

Help with ADF test !

Postby nubbey554 » Mon May 19, 2014 9:19 pm

Hey, I was wondering if anyone could help me with choosing whether to include an intercept, intercept with trend or no intercept and trend

Firstly I want to do a ADF on the level of loge, which appears to be stationary with a non-zero mean. Would this mean as it has no drift I would do a ADF test with no intercept and no trend ?

Secondly I want to do a ADF on the level of logcpius. When this is graphed it looks as if it has trend, although this appears just to be drift due to a constant (as when I difference it it makes it stationary). Would this mean I do an ADF test including a constant, or do I also include trend as it trends upwards ?

Thanks so much, any help would be greatly appreciated !!
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