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From | Skipper Seabold <jsseabold@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | st: dfuller test statistic |
Date | Wed, 16 Jun 2010 15:14:32 -0400 |
All, In Stata 11, when I do webuse lutkepohl2 dfuller ln_inc, lags(4) regress The reported test-statistic for a unit root is just the t-statistic on the lagged ln_inc. However, the Hamilton textbook and MacKinnon (1994) recommend that when lagged values of the difference are included that the appropriate test statistic is Z = (T/(1-sum(coefficients on lagged differences))) * (coefficient on lagged level - 1) where T is the number of observations (not including lags). Is this just a recommendation? Is the single t-statistic valid to test, and if so are the regression surface results of MacKinnon (1994) with no lagged differences valid for this specification? Thanks, Skipper * * 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/