joint hypotesis DAF
Posted: Mon Feb 06, 2017 7:03 am
hi evryone
my question may be idiot but i can not take decision about my serie if it is differency stationary (and it is then I(2) without constant) or trend stationary and then I(1)
here are the results of ADF and PP tests. I made a df test on the trend wicth critical value à is 2.78 (5%)
ADF t-@rend=2.63<2.78
PP t-@trend= 3.65>2.78
joint hypotesis test : h06: F6=3.89<6.49 likelihood ratio statistics critical value at 5% on the dickey fuller table 1981 (page 1063)
the serie is in attachement and the programm of joint hypotesis test is as follow:
equation tib6.ls tib c tib(-1) d(tib(-1)) @trend
scalar scr6tib=@ssr
scalar ddl6tib=@regobs-@ncoef
genr dtib=tib-tib(-1)
equation tib6c.ls dtib c d(tib(-1))
scalar scrd6tib=@ssr
scalar f6tib=((scrd6tib-scr6tib)/2)/(scr6tib/ddl6tib)
please Answer me to be able to continue.
my question may be idiot but i can not take decision about my serie if it is differency stationary (and it is then I(2) without constant) or trend stationary and then I(1)
here are the results of ADF and PP tests. I made a df test on the trend wicth critical value à is 2.78 (5%)
ADF t-@rend=2.63<2.78
PP t-@trend= 3.65>2.78
joint hypotesis test : h06: F6=3.89<6.49 likelihood ratio statistics critical value at 5% on the dickey fuller table 1981 (page 1063)
the serie is in attachement and the programm of joint hypotesis test is as follow:
equation tib6.ls tib c tib(-1) d(tib(-1)) @trend
scalar scr6tib=@ssr
scalar ddl6tib=@regobs-@ncoef
genr dtib=tib-tib(-1)
equation tib6c.ls dtib c d(tib(-1))
scalar scrd6tib=@ssr
scalar f6tib=((scrd6tib-scr6tib)/2)/(scr6tib/ddl6tib)
please Answer me to be able to continue.