interpret unit root test
Posted: Fri Sep 13, 2013 10:06 pm
I have 3 times for unit root, firstly is intercept, secondly is intercept and trend, lastly is none.
What will happen, if intercept is stationary, but the others are non-stationary. And how can i interpret this test at critical 5% values?
1.Intercept
Null Hypothesis: MINT has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=13)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -2.949028 0.0419
Test critical values: 1% level -3.466994
5% level -2.877544
10% level -2.575381
2. Intercept and trend
Null Hypothesis: MINT has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=13)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -2.873432 0.1737
Test critical values: 1% level -4.010143
5% level -3.435125
10% level -3.141565
3.None
Null Hypothesis: MINT has a unit root
Exogenous: None
Lag Length: 0 (Automatic - based on SIC, maxlag=13)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic 0.240933 0.7550
Test critical values: 1% level -2.577945
5% level -1.942614
10% level -1.615522
*MacKinnon (1996) one-sided p-values.
What will happen, if intercept is stationary, but the others are non-stationary. And how can i interpret this test at critical 5% values?
1.Intercept
Null Hypothesis: MINT has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=13)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -2.949028 0.0419
Test critical values: 1% level -3.466994
5% level -2.877544
10% level -2.575381
2. Intercept and trend
Null Hypothesis: MINT has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=13)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -2.873432 0.1737
Test critical values: 1% level -4.010143
5% level -3.435125
10% level -3.141565
3.None
Null Hypothesis: MINT has a unit root
Exogenous: None
Lag Length: 0 (Automatic - based on SIC, maxlag=13)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic 0.240933 0.7550
Test critical values: 1% level -2.577945
5% level -1.942614
10% level -1.615522
*MacKinnon (1996) one-sided p-values.