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


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Re: Augmented Dickey-Fuller or and Phillips-Perron
Date   Fri, 4 Jul 2008 14:20:01 +0100

With 28 data points only, i.e. 7 years, is any P-value worth much here?
On the other hand, plotting the data against time and against quarter
and thinking about the process will likely yield much more insight about
whether stationarity is plausible. 

Nick
n.j.cox@durham.ac.uk 

Kit Baum

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

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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