ADF critical values under the "const" option
Posted: Fri Oct 04, 2013 11:03 pm
Hi, It is my understanding that when one chooses the 'const" option with the adf unit root test, the associated critical values are for a random walk WITHOUT drift. In other words, the assumed DGP is a random walk without drift, but the estimated regression includes a constant term. Is there any way to get critical values for a null that assumes random walk WITH drift?