any one can help me in ADF test ??
Posted: Sat May 24, 2014 7:41 am
I would be very grateful if somebody could help me in this..
I am running the 3 models of ADF ( Augmented Dickey Fuller) test on (Ln Total Fertility rate) variable, below shows the results :
1- Intercept only : ( lag difference = 0 ) at level
p-value for Z(t) = 0.9672 so this mean that the variable is non-stationary right ?
coefficient of lnTFR.L1 = 0.00072 2- I read that if the coefficient of L1 is not- negative so the model is invalid? What does that mean?
2- intercept + trend : ( lag difference = 0 ) at level
p-value for Z(t) = 0.9409 so this mean that the variable TFR is also non-stationary when including trend ?
Coefficient of lnTFR.L1= -0.04623 now the coefficient is in negative so the model valid ??
3- No intercept + no trend : ( lag difference=0) at level
Test statistic 12.762 are much higher than 1% critical value 2.642 and 5% critical value 1.95 so does this mean that the variable is stationary with no trend and intercept ?
in this case what should i do ?
when i tried a lag difference = 1 at level i found that the variable become stationary in the model intercept+trend !! now should i take the first difference or only conclude that the variable at level is stationary with 1 lag difference ??
Thanks so much, any help would be greatly appreciated !! :)))
I am running the 3 models of ADF ( Augmented Dickey Fuller) test on (Ln Total Fertility rate) variable, below shows the results :
1- Intercept only : ( lag difference = 0 ) at level
p-value for Z(t) = 0.9672 so this mean that the variable is non-stationary right ?
coefficient of lnTFR.L1 = 0.00072 2- I read that if the coefficient of L1 is not- negative so the model is invalid? What does that mean?
2- intercept + trend : ( lag difference = 0 ) at level
p-value for Z(t) = 0.9409 so this mean that the variable TFR is also non-stationary when including trend ?
Coefficient of lnTFR.L1= -0.04623 now the coefficient is in negative so the model valid ??
3- No intercept + no trend : ( lag difference=0) at level
Test statistic 12.762 are much higher than 1% critical value 2.642 and 5% critical value 1.95 so does this mean that the variable is stationary with no trend and intercept ?
in this case what should i do ?
when i tried a lag difference = 1 at level i found that the variable become stationary in the model intercept+trend !! now should i take the first difference or only conclude that the variable at level is stationary with 1 lag difference ??
Thanks so much, any help would be greatly appreciated !! :)))