Not really. -dfuller- provides what are called parametric augmented
Dickey-Fuller (ADF) tests, which require explicit specification of the
(linear) trend component. -dfgls- belongs to a class of efficient ADF
unit root tests, which involve running the ADF tests on
quasi-differenced series (wherby a trend is extracted by GLS
detrending) - leading, typically, to greater power properties.
In either case, -dfuller- does not include a trend by default and
-dfgls- does. So as you are using them, they are not comparable. For
quick diagnostics on unit roots, I prefer -dfgls-.
I can point you to the excellent exposition in Phillips and Xiao
(1998) & [TS] dfgls.
--- References ---
@article{phillips1998primer,
title={{A Primer on Unit Root Testing}},
author={Phillips, P.C.B. and Xiao, Z.},
journal={Journal of Economic Surveys},
volume={12},
number={5},
pages={423--470},
year={1998},
publisher={Blackwell Publishers Ltd}
}
2009/8/27 Ihtesham Afzal <[email protected]>:
> Hello, first of all, thanks for the reply.
> Here is the output. From this can I infer that the lags i should use is 14 (if I use the MAIC)and thus conduct the ADF test with 14 lags as I have done below?
> Is this the correct procedure.
> Kinds Regards.
> Ihtesham
>
>
> . dfgls lCPI
>
> DF-GLS for lCPI Number of obs = 284
> Maxlag = 15 chosen by Schwert criterion
>
> DF-GLS tau 1% Critical 5% Critical 10% Critical
> [lags] Test Statistic Value Value Value
> ------------------------------------------------------------------------------
> 15 -0.614 -3.480 -2.815 -2.535
> 14 -0.659 -3.480 -2.823 -2.542
> 13 -0.787 -3.480 -2.830 -2.549
> 12 -1.235 -3.480 -2.838 -2.555
> 11 -0.351 -3.480 -2.845 -2.562
> 10 -0.285 -3.480 -2.851 -2.568
> 9 -0.223 -3.480 -2.858 -2.574
> 8 -0.327 -3.480 -2.865 -2.580
> 7 -0.381 -3.480 -2.871 -2.586
> 6 -0.457 -3.480 -2.877 -2.591
> 5 -0.254 -3.480 -2.883 -2.596
> 4 -0.164 -3.480 -2.888 -2.601
> 3 -0.084 -3.480 -2.894 -2.606
> 2 -0.233 -3.480 -2.899 -2.611
> 1 -0.206 -3.480 -2.903 -2.615
>
> Opt Lag (Ng-Perron seq t) = 13 with RMSE .0030169
> Min SC = -11.32856 at lag 13 with RMSE .0030169
> Min MAIC = -11.51094 at lag 14 with RMSE .003008
>
>
> . dfuller lCPI, lags(14)
> Augmented Dickey-Fuller test for unit root Number of obs = 285
> ---------- Interpolated Dickey-Fuller ---------
> Test 1% Critical 5% Critical 10% Critical
> Statistic Value Value Value
> ------------------------------------------------------------------------------
> Z(t) -1.980 -3.457 -2.879 -2.570
> ------------------------------------------------------------------------------
> MacKinnon approximate p-value for Z(t) = 0.2955
>
>
> ----------------------------------------
>> Date: Thu, 27 Aug 2009 12:59:34 +0100
>> Subject: Re: st: Appropriate lags for Augmented Dickey-Fuller Test
>> From: [email protected]
>> To: [email protected]
>>
>> <>
>> -dfgls- reports three different criteria for lag selection:
>>
>> 1) Ng-Perron
>> 2) Schwarz
>> 3) Modified AIC
>>
>> and reports tests upto a max. lag determined by the Schwert criteria.
>>
>> T
>>
>> On Thu, Aug 27, 2009 at 12:39 PM, Ihtesham
>> Afzal wrote:
>>> Hello.
>>> Just a quick question.
>>> When undergoing the Augmented Dickey Fuller Test, how do I decide on how many lags to include for each series?
>>> Do I estimate the AR(p) model with different p-lag values and then find the one with the lowest AIC/BIC value?
>>>
>>> Kind Regards.
>>>
>>> Ihtesham
>>> _________________________________________________________________
>>>
>>> Upgrade to Internet Explorer 8 Optimised for MSN.
>>>
>>> http://extras.uk.msn.com/internet-explorer-8/?ocid=T010MSN07A0716U
>>> *
>>> * 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/
>>>
>>
>>
>>
>> --
>> To every ω-consistent recursive class κ of formulae there correspond
>> recursive class signs r, such that neither v Gen r nor Neg(v Gen r)
>> belongs to Flg(κ) (where v is the free variable of r).
>>
>> *
>> * 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/
> _________________________________________________________________
> Celebrate a decade of Messenger with free winks, emoticons, display pics, and more.
> http://clk.atdmt.com/UKM/go/157562755/direct/01/
> *
> * 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/
>
--
To every ω-consistent recursive class κ of formulae there correspond
recursive class signs r, such that neither v Gen r nor Neg(v Gen r)
belongs to Flg(κ) (where v is the free variable of r).
*
* 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/
