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Urgent please answer ! Augmented Dickey-Fuller Test - Day of the week effect
Posted: Sun Jul 05, 2020 11:52 am
by Joshita_22
Hello Everyone,
I am working on my dissertation and i need help regarding ADF test.
Can someone guide me as to how to perform an Augmented Dickey Fuller Test using Day of the week effect ?
I need my results as attached image.
It's urgent, thank you a lot.
Re: Urgent please answer ! Augmented Dickey-Fuller Test - Day of the week effect
Posted: Sun Jun 05, 2022 9:28 am
by pitsi
Dear all,
Could you please help me with my confusion on unit root critical values?
The fact that the ADF t-stat is smaller than the critical value at 5% indicates rejection of the null but what about the critical value at 1% level of significance? In the case below it indicates that null cannot be rejected and first differences should be tested, right? So which one should I account? Although I ve searched the forum for answers I couldnt find something relevant, so apologies if a post has skipped.
Null Hypothesis: L_IT_EV has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 1 (Automatic - based on SIC, maxlag=15)
t-Statistic Prob.
Augmented Dickey-Fuller test statistic -3.655053 0.0272
Test critical values: 1% level -3.992933
5% level -3.426809
10% level -3.136666
*MacKinnon (1996) one-sided p-values.
Thank you very very much for your time in advance!
Re: Urgent please answer ! Augmented Dickey-Fuller Test - Day of the week effect
Posted: Sun Jun 05, 2022 9:36 am
by startz
Dear all,
Could you please help me with my confusion on unit root critical values?
The fact that the ADF t-stat is smaller than the critical value at 5% indicates rejection of the null but what about the critical value at 1% level of significance? In the case below it indicates that null cannot be rejected and first differences should be tested, right? So which one should I account? Although I ve searched the forum for answers I couldnt find something relevant, so apologies if a post has skipped.
Null Hypothesis: L_IT_EV has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 1 (Automatic - based on SIC, maxlag=15)
t-Statistic Prob.
Augmented Dickey-Fuller test statistic -3.655053 0.0272
Test critical values: 1% level -3.992933
5% level -3.426809
10% level -3.136666
*MacKinnon (1996) one-sided p-values.
Thank you very very much for your time in advance!
This is no different than any other statistical test. There is strong evidence (5%) against the null hypothesis but not very strong (1%) evidence against it. So there is probably not a unit root.
Re: Urgent please answer ! Augmented Dickey-Fuller Test - Day of the week effect
Posted: Sun Jun 05, 2022 11:16 am
by pitsi
Dear all,
Could you please help me with my confusion on unit root critical values?
The fact that the ADF t-stat is smaller than the critical value at 5% indicates rejection of the null but what about the critical value at 1% level of significance? In the case below it indicates that null cannot be rejected and first differences should be tested, right? So which one should I account? Although I ve searched the forum for answers I couldnt find something relevant, so apologies if a post has skipped.
Null Hypothesis: L_IT_EV has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 1 (Automatic - based on SIC, maxlag=15)
t-Statistic Prob.
Augmented Dickey-Fuller test statistic -3.655053 0.0272
Test critical values: 1% level -3.992933
5% level -3.426809
10% level -3.136666
*MacKinnon (1996) one-sided p-values.
Thank you very very much for your time in advance!
This is no different than any other statistical test. There is strong evidence (5%) against the null hypothesis but not very strong (1%) evidence against it. So there is probably not a unit root.
Thank you very much for the reply.