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How I choose the result of Unit Root Test ?

Posted: Sat Feb 01, 2014 9:04 am
by 490610362
Hello

I tested Unit root with ADF at Level I(0)
(X)
With trend and Intercept > Stationary
With intercept > Stationary
None > Non-Stationary

What the result that i should choose ?
If it stationary at Level, can i do johansen's cointegration test with this variable? (Other variables (Y,Z) are stationary at 1st diff I(1))

Thank you,

Re: How I choose the result of Unit Root Test ?

Posted: Tue Feb 11, 2014 9:04 am
by Gaya
I am not a expert in econometrics. However, best way might be to use other methods like Phillips-Perron (PP) or Kwiatkowski–Phillips–Schmidt–Shin (KPSS). I have seen in some articles used all 3 methods (i.e. ADF, PP, KPSS). Most probably you may conclude that at I(0) variable is stationary.