A question about Dickey Fuller test.
Posted: Mon Aug 01, 2011 1:33 pm
HI all,
I am using Augmented Dickey Fuller test. And I want to test the joint significance of the intercept and trend terms. Is there a way
I could generate or fetch a Fisher test statistics based on the output of the ADF test equation?
( the idea is that: I want to test H0: b0=b1=b2=0, versus Ha: not all b0, b1, b2 are zero. where b0, b1 and b2 are coefficients of the regression.)
Thank you in advance.
I am using Augmented Dickey Fuller test. And I want to test the joint significance of the intercept and trend terms. Is there a way
I could generate or fetch a Fisher test statistics based on the output of the ADF test equation?
( the idea is that: I want to test H0: b0=b1=b2=0, versus Ha: not all b0, b1, b2 are zero. where b0, b1 and b2 are coefficients of the regression.)
Thank you in advance.