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Dickey-Fuller p-value
Posted: Tue Mar 03, 2009 11:31 am
by j.galimberti
Hello there!
I would like to know if is there any statistical distribution function that returns the p-value for the ADF t-stat. Something like the @tdist() function, but with the ADF distribution. I read in the help that Eviews uses MacKinnon (1991, 1996) critical value calculations. How can I access these critical values?
Thanks
Re: Dickey-Fuller p-value
Posted: Tue Mar 03, 2009 2:52 pm
by EViews Glenn
There isn't, at the moment, a direct way of doing this. The output for the unit root tests will provide the values for the 1%, 5% and 10% values, but we don't have a user-accessible function to return the value. It's on our list of things to look at for future versions -- one issue that we've seen is that the routines have side information that should be returned along with the function and we have not decided on the best way to return that information.
Sorry. I will take this comment as a suggestion to bump this up on our list.
Re: Dickey-Fuller p-value
Posted: Tue Mar 03, 2009 3:18 pm
by j.galimberti
Ok! Thanks.
Re: Dickey-Fuller p-value
Posted: Tue Mar 03, 2009 4:33 pm
by EViews Glenn
I should have pointed out that if you really want them, you could go directly to the MacKinnon programs...
http://econ.queensu.ca/faculty/mackinnon/numdist/
Re: Dickey-Fuller p-value
Posted: Tue Mar 03, 2009 5:37 pm
by j.galimberti
Thanks again! But I had found it before.
Anyway, I'm going to bootstrap the statistic as sugested by Maddala and Wu (1999). The time dimension of my sample is to short to use the tabulated critical values.