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


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: Augmented Dickey-Fuller or and Phillips-Perron
Date   Fri, 4 Jul 2008 06:57:34 -0400

< >
Neither. Use -dfgls-, which has considerably greater power than the 'first-generation' tests such as ADF and PP.

Kit

Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


On Jul 4, 2008, at 02:33 , Dndee wrote:


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?
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