st: Re: Augmented Dickey-Fuller or and Phillips-Perron

[Kit Baum <baum@bc.edu>]

< >
Neither. Use -dfgls-, which has considerably greater power than the  
'first-generation' tests such as ADF and PP.

Kit

Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


On Jul 4, 2008, at 02:33 , Dndee wrote:


> I have a set of quarterly time series with 28 data points with  
> seasonal variation. For the stationary test I have done Augmented  
> Dickey-Fuller and Philips-Perron tests at lag 4.  The P-value for  
> the former one is insignificant but significant for the other one.  
> Which one should I use?
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