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From |
Yuval Arbel <yuval.arbel@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Sat, 19 Nov 2011 18:44:20 +0200 |

pacf of all of them showed that all the examined series are I(1) - including those for which the unit root hypothesis was rejected On Sat, Nov 19, 2011 at 5:42 PM, Christopher Baum <kit.baum@bc.edu> wrote: > <> > > 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/ > -- Dr. Yuval Arbel School of Business Carmel Academic Center 4 Shaar Palmer Street, Haifa, Israel e-mail: yuval.arbel@gmail.com * * 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/

**References**:**re:Re: Re: st: RE: dfuller: why do I get different results?***From:*Christopher Baum <kit.baum@bc.edu>

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