ADF with a summation term
Posted: Mon Nov 12, 2012 1:28 pm
Hi,
I am trying to run an agumented dickey fuller (ADF) test on several equations that have a summation term in them. I have some data with the ADF already calculated, and I'm testing myself using this data. Every time I try to get the same results as the data I have, I get something different.
The equations are pretty simple and most just include a constant, one lag of the dependent variable, and a summation of all the values of the dependent variable. So it would be something like this:
delta(y) = constant + (coefficient)(lag of y) + summation(coefficient)(delta of y, t-i).
Can anyone tell me how I would set this up?
Thanks!
I am trying to run an agumented dickey fuller (ADF) test on several equations that have a summation term in them. I have some data with the ADF already calculated, and I'm testing myself using this data. Every time I try to get the same results as the data I have, I get something different.
The equations are pretty simple and most just include a constant, one lag of the dependent variable, and a summation of all the values of the dependent variable. So it would be something like this:
delta(y) = constant + (coefficient)(lag of y) + summation(coefficient)(delta of y, t-i).
Can anyone tell me how I would set this up?
Thanks!