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The result of Dickey fuller test shows Probability of 0.0044 (less than 0.05) but the t-statistics is -3.699 which is less than critical values. How should I interpret the result. Should I say 'The series has unit root? or should I reject the null hypothesis?
Thanks in advance

You might want to post your output.

Here is the output of study . Probability of 0.004 (less than 0.05) but the t-statistics is -3.699 which is less than critical values. How should I interpret the result. Should I say 'The series has unit root? or should I reject the null hypothesis? Thanks

Null Hypothesis: INDIAVIX has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=17)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -3.69932 0.0044
Test critical values: 1% level -3.44325
5% level -2.86712
10% level -2.56981

*MacKinnon (1996) one-sided p-values.


Augmented Dickey-Fuller Test Equation
Dependent Variable: D(INDIAVIX)
Method: Least Squares
Date: 03/03/12 Time: 12:04
Sample (adjusted): 2 499
Included observations: 498 after adjustments

Coefficient Std. Error t-Statistic Prob.

INDIAVIX(-1) -0.05469 0.014783 -3.69932 0.0002
C 1.254001 0.342806 3.658052 0.0003

R-squared 0.02685 Mean dependent var 0.006787
Adjusted R-squared 0.024888 S.D. dependent var 1.401791
S.E. of regression 1.384237 Akaike info criterion 3.492184
Sum squared resid 950.3919 Schwarz criterion 3.509094
Log likelihood -867.554 Hannan-Quinn criter. 3.49882
F-statistic 13.68495 Durbin-Watson stat 2.020148
Prob(F-statistic) 0.00024

It's the absolute value of the t- that matters. You should reject.

Thanks. Eviews gives confusing results. It's difficult to interpret.Having come upto version 7, it could refine its algorithm to give clear, consistent results.

I'd love to hear suggestions on how to make this clearer. We could spruce this up for EViews 8.

We currently provide the statistic and the p-value, as well as the critical values at the 10%, 5% and 1%. The latter are monotonically decreasing values with larger negative numbers associated with tighter confidence levels. So rather than thinking in terms of absolute values as in the usual t-stat, you should be thinking in terms of larger negative values providing greater evidence against the null.

In this case, the p-value is about .004 so that we reject. Re: your first post, note that we clearly state that the null is that there is a unit root so that rejecting means that you reject the null of a unit root.

Also, it's normal that the t value is less that the critical values as it is a one tail test. A one tail test can be positive or negative, you would reject a null hypothesis if (negative t-stat) < (negative crit value) or if (positive t-stat) > (positive crit value).

Correct me if I'm wrong?

In general yes, but in this application it's always the negative tail.

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -2.885930 0.0572
Test critical values: 1% level -3.632900
5% level -2.948404
10% level -2.612874


In such case, should i reject the null hypothesis? Thanks.

Hello Sir/Madam,

Please should absolute figures of the t-values be considered all time even if the t-value is positive and the critical values are negative?

Example my test results shows; t-value = 0.2768, critical values are; 1% = -2.8622, 5% = -1.979, 10% = -1.6337. p-value = 0.7882.

Please should I accept the null of a unit root.

Thanks, Kofi.

You can definetely NOT reject the H0.