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st: Augmented Dickey-Fuller or and Philips-Perron


From   STATA Dndee <statadndee@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: Augmented Dickey-Fuller or and Philips-Perron
Date   Thu, 3 Jul 2008 19:33:20 +0000 (GMT)

I have a set of quarterly time series with 28 data points with seasonal variation. For the stationary test I have done Augmented Dickey-Fuller and Philips-Perron tests at lag 4.  The P-value for the former one is insignificant but significant for the other one. Which one should I use?
Your help is very much appreciated.
Kind regards



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