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# st: A query regarding Dickey-Fuller and Kwiatkowski-Phillips-Schmidt-Shin test results

 From GUCBILMEZ Ufuk <[email protected]> To "'[email protected]'" <[email protected]> Subject st: A query regarding Dickey-Fuller and Kwiatkowski-Phillips-Schmidt-Shin test results Date Mon, 19 Mar 2012 14:58:33 +0000

```Dear Statalist,

I am working with monthly time series data, and am trying to test for the (level) stationarity of the series. The Dickey-Fuller test rejects the existence of a unit root at 1% (see below). Alternative unit-root tests (Phillips-Perron and DF-GLS) yield the same conclusion.

As far as I understand, the Dickey-Fuller test has low power. So, I complement it with a Kwiatkowski-Phillips-Schmidt-Shin stationarity test on the same series (see also below). The KPSS test fails to reject stationarity at 1% for lags higher than 3, but rejects it at the same significance level for up to 3 lags.

My question is whether I can safely conclude that the series is stationary based on the Dickey-Fuller test stat. & the KPSS test stat. with more than 3 lags, or should I be concerned with the rejection of null when the KPSS test stat. has up to 3 lags?

Ufuk

---------------------------------------
Dr Ufuk Gucbilmez
University of Edinburgh

. dfuller VolumeGm

Dickey-Fuller	test for unit	root                   Number of obs   =       623

---------- Interpolated Dickey-Fuller ---------
Test		1% Critical       5% Critical      10% Critical
Statistic	Value             Value             Value

Z(t)	-6.806	-3.430            -2.860            -2.570

. kpss VolumeGm, notrend

KPSS test for VolumeGm

Maxlag = 18 chosen by Schwert criterion
Autocovariances weighted by Bartlett kernel

Critical values for H0: VolumeGm is level stationary

10%: 0.347  5% : 0.463  2.5%: 0.574  1% : 0.739

Lag order    Test statistic
0           3.06
1           1.64
2           1.14
3           .882
4           .721
5           .613
6           .536
7           .478
8           .432
9           .396
10           .367
11           .343
12           .322
13           .305
14            .29
15           .277
16           .265
17           .255
18           .247

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