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From |
Christopher Baum <kit.baum@bc.edu> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
re:Re: Re: st: RE: dfuller: why do I get different results? |

Date |
Sat, 19 Nov 2011 10:42:52 -0500 |

<> I still need the formal statistical test - for a research paper a general plot will not be sufficient. BTW: I just ran manually the first 10 panels. It is not a representative sample, but as you can see below indeed, in most of them the unit-root hypothesis was not rejected at the 1% significance level: Unit root tests have notoriously low power with < 100 observations -- that's why we have panel unit root tests. Three rejections at 5% out of 10 samples suggests that "most" might be I(1), but then a df test with no constant nor trend is a queer bird indeed. The process you are modeling has to make sense under both null and alternative hypotheses for the test to be valid. A bit of algebra shows that a DF regression without a constant implies that the mean of Y is the mean of epsilon == 0 under the alternative hypothesis of stationarity. If your data in levels do not have a mean of zero, this model is incapable of reproducing the data with any choice of ]beta < 0, and so the test is flawed. Kit Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: Re: Re: st: RE: dfuller: why do I get different results?***From:*Yuval Arbel <yuval.arbel@gmail.com>

**Re: Re: Re: st: RE: dfuller: why do I get different results?***From:*Yuval Arbel <yuval.arbel@gmail.com>

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