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Re: st: Augmented Dickey-Fuller or and Philips-Perron


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Augmented Dickey-Fuller or and Philips-Perron
Date   Thu, 03 Jul 2008 22:14:59 -0400

If you are wondering which of these tests has more power, you should
read G.S. Maddala and In-Moo Kim's book  "Unit Roots, Cointegration,
and Structural Change."  On page 100,  they note that DeJong et al (1992)
mention both the ADF and suffers from size distortion from negatively
correlated MA errors, whereas the PP tests suffers from this from correlated
AR or MA errors.  They say that the PP tests have lower power and that
ADF tests have more power and probably should be preferred in practice.
This may depend on the circumstances.
      Regards,
         Bob Yaffee




Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University


----- Original Message -----
From: STATA Dndee <statadndee@yahoo.co.uk>
Date: Thursday, July 3, 2008 3:34 pm
Subject: st: Augmented Dickey-Fuller or and Philips-Perron
To: statalist@hsphsun2.harvard.edu


> 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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