Help with ADF test !
Posted: 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 !!
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 !!