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st: dfuller: Why is Stata using the t-distribution when I use "drift"
From
"Daniel Ilg" <[email protected]>
To
<[email protected]>
Subject
st: dfuller: Why is Stata using the t-distribution when I use "drift"
Date
Fri, 26 Aug 2011 01:44:40 +0200
Hi!
I wonder why Stata is using the t-distribution for the critical values in
dfuller when I use a drift parameter. The normal dfuller uses the critical
values of "Interpolated Dickey-Fuller". For me it seems that both tests are
identical, except dfuller with the drift leads to a rejection of the
H0-Hypothesis.
. dfuller LPX_america, regress lags(10)
Augmented Dickey-Fuller test for unit root Number of obs =
122
---------- Interpolated Dickey-Fuller
---------
Test 1% Critical 5% Critical 10%
Critical
Statistic Value Value Value
----------------------------------------------------------------------------
--
Z(t) -2.571 -3.503 -2.889
-2.579
----------------------------------------------------------------------------
--
MacKinnon approximate p-value for Z(t) = 0.0991
----------------------------------------------------------------------------
--
D. |
LPX_america | Coef. Std. Err. t P>|t| [95% Conf.
Interval]
-------------+--------------------------------------------------------------
--
LPX_america |
L1. | -.0617879 .0240325 -2.57 0.011 -.1094147
-.0141612
LD. | .2827078 .0889924 3.18 0.002 .1063457
.45907
L2D. | -.0179429 .0883804 -0.20 0.839 -.1930921
.1572064
L3D. | -.0191534 .0883105 -0.22 0.829 -.194164
.1558573
L4D. | .1765123 .0844759 2.09 0.039 .0091008
.3439238
L5D. | -.0071433 .0853274 -0.08 0.933 -.1762422
.1619557
L6D. | -.1130131 .0834153 -1.35 0.178 -.2783226
.0522964
L7D. | .1712005 .0835844 2.05 0.043 .0055559
.3368451
L8D. | .058436 .0842389 0.69 0.489 -.1085057
.2253777
L9D. | .0355256 .0830961 0.43 0.670 -.1291514
.2002026
L10D. | .1804269 .0798417 2.26 0.026 .0221994
.3386544
_cons | 10.3958 4.087999 2.54 0.012 2.294345
18.49725
----------------------------------------------------------------------------
--
. dfuller LPX_america, drift regress lags(10)
Augmented Dickey-Fuller test for unit root Number of obs =
122
----------- Z(t) has t-distribution
-----------
Test 1% Critical 5% Critical 10%
Critical
Statistic Value Value Value
----------------------------------------------------------------------------
--
Z(t) -2.571 -2.361 -1.659
-1.289
----------------------------------------------------------------------------
--
p-value for Z(t) = 0.0057
----------------------------------------------------------------------------
--
D. |
LPX_america | Coef. Std. Err. t P>|t| [95% Conf.
Interval]
-------------+--------------------------------------------------------------
--
LPX_america |
L1. | -.0617879 .0240325 -2.57 0.011 -.1094147
-.0141612
LD. | .2827078 .0889924 3.18 0.002 .1063457
.45907
L2D. | -.0179429 .0883804 -0.20 0.839 -.1930921
.1572064
L3D. | -.0191534 .0883105 -0.22 0.829 -.194164
.1558573
L4D. | .1765123 .0844759 2.09 0.039 .0091008
.3439238
L5D. | -.0071433 .0853274 -0.08 0.933 -.1762422
.1619557
L6D. | -.1130131 .0834153 -1.35 0.178 -.2783226
.0522964
L7D. | .1712005 .0835844 2.05 0.043 .0055559
.3368451
L8D. | .058436 .0842389 0.69 0.489 -.1085057
.2253777
L9D. | .0355256 .0830961 0.43 0.670 -.1291514
.2002026
L10D. | .1804269 .0798417 2.26 0.026 .0221994
.3386544
_cons | 10.3958 4.087999 2.54 0.012 2.294345
18.49725
----------------------------------------------------------------------------
--
Can someone explain me the difference?
Best Regards,
Daniel
Mit freundlichen Grüßen/Best regards
Dipl.-Kfm. Daniel Ilg
wissenschaftlicher Mitarbeiter/Research Associate
Lehrstuhl für Wirtschaftstheorie/Chair of Economic Theory
Katholische Universität Eichstätt-Ingolstadt/Catholic University
Eichstaett-Ingolstadt
Auf der Schanz 49
85049 Ingolstadt
Tel.: +49 841 937 1857
Mobil: +49 171 653 113 1
E-Mail: [email protected]
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