ADF test p-value
Posted: Mon Aug 11, 2014 7:05 pm
Hi, After running ADF test at level in eviews for Tehran stock exchange in agriculture section, I faced this problem:
Null Hypothesis: AGRI has a unit root
Exogenous: Constant
Lag Length: 12 (Automatic based on SIC, MAXLAG=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic 4.028933 1.0000
Test critical values: 1% level -3.500669
5% level -2.892200
10% level -2.583192
as you can see ADF t-statistic is higher than all critical values but the p-value is more than 5%. Now should I reject the null hypothesis or accept it?
Null Hypothesis: AGRI has a unit root
Exogenous: Constant
Lag Length: 12 (Automatic based on SIC, MAXLAG=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic 4.028933 1.0000
Test critical values: 1% level -3.500669
5% level -2.892200
10% level -2.583192
as you can see ADF t-statistic is higher than all critical values but the p-value is more than 5%. Now should I reject the null hypothesis or accept it?