Different Results with Phillips Peron and ADF Test
Posted: Mon Jul 05, 2010 12:37 am
I am using Eviews 6.
While working on a time series, I checked for unit root problem by application of Phillips Peron and Augmented Dickey Fuller Test. But, I am getting altogether different results from these tests. I am being told that there might be a structural break in the data series and have to apply some Zivot Andrews method. Is it so ?? If yes, is there any way to do it in Eviews?
Please help!!
Thanks
While working on a time series, I checked for unit root problem by application of Phillips Peron and Augmented Dickey Fuller Test. But, I am getting altogether different results from these tests. I am being told that there might be a structural break in the data series and have to apply some Zivot Andrews method. Is it so ?? If yes, is there any way to do it in Eviews?
Please help!!
Thanks