Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: Critical values Dickey Fuller test with 'drift'


From   George Murray <[email protected]>
To   [email protected]
Subject   Re: st: Critical values Dickey Fuller test with 'drift'
Date   Sat, 20 Jul 2013 16:42:17 +1000

You use the drift term when the series in question is increasing or
decreasing over time. In this case, the alternative hypothesis is that
there is a unit root around a deterministic trend and the null is that
the series is stationary around a deterministic trend.

On Sat, Jul 20, 2013 at 6:51 AM, Sissy Tuken <[email protected]> wrote:
> When using the Dickey Fuller test to check whether a series data is stationary , I noticed that when using the dickey fuller test with 'drift',
> (dfuller variable, drift regress) the same values for the coefficients is presented when performing the dickey fuller test without drift (that is: dfuller variable, regress). However, the critical values differ and most often in the tests with 'drift' the H0 can be rejected (series is stationary), while in the tests without 'drift' most often the H0 cannot be rejected.
> When do you have to use drift in the dickey fuller test?
> Thank you in advance!
> With kind regards,
> Sissy
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/faqs/resources/statalist-faq/
> *   http://www.ats.ucla.edu/stat/stata/

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/faqs/resources/statalist-faq/
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index