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Re: st: Appropriate lags for Augmented Dickey-Fuller Test


From   Clive Nicholas <clivelists@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Appropriate lags for Augmented Dickey-Fuller Test
Date   Fri, 28 Aug 2009 07:35:03 +0100

Joao Ricardo F. Lima replied to Ihtesham Afzal:

> what´s the null hyphothesis that you are testing?
> Ho: lCPI exhibits a unit root.
>
> With these dfgls test statistics you can´t reject H0 at 10%. Test
> Statistic < Critical Value for lags 1-15.
>
> ICPI isn´t stationary.

Does a 10% critical value of _any_ statistical test amount to a row of beans?

-- 
Clive Nicholas

[Please DO NOT mail me personally here, but at
<clivenicholas@hotmail.com>. Please respond to contributions I make in
a list thread here. Thanks!]

"My colleagues in the social sciences talk a great deal about
methodology. I prefer to call it style." -- Freeman J. Dyson.

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