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Re: Re: Re: st: RE: dfuller: why do I get different results?
From
Yuval Arbel <[email protected]>
To
[email protected]
Subject
Re: Re: Re: st: RE: dfuller: why do I get different results?
Date
Sat, 19 Nov 2011 18:44:20 +0200
pacf of all of them showed that all the examined series are I(1) -
including those for which the unit root hypothesis was rejected
On Sat, Nov 19, 2011 at 5:42 PM, Christopher Baum <[email protected]> wrote:
> <>
>
> I still need the formal statistical test - for a research paper a
> general plot will not be sufficient.
>
> BTW: I just ran manually the first 10 panels. It is not a
> representative sample, but as you can see below indeed, in most of
> them the unit-root hypothesis was not rejected at the 1% significance
> level:
>
> Unit root tests have notoriously low power with < 100 observations -- that's why we have panel unit root tests.
> Three rejections at 5% out of 10 samples suggests that "most" might be I(1), but then a df test with no constant nor trend is a queer bird indeed. The process you are modeling has to make sense under both null and alternative hypotheses for the test to be valid. A bit of algebra shows that a DF regression without a constant implies that the mean of Y is the mean of epsilon == 0 under the alternative hypothesis of stationarity. If your data in levels do not have a mean of zero, this model is incapable of reproducing the data with any choice of ]beta < 0, and so the test is flawed.
>
> Kit
>
> Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
> An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
> An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
>
>
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--
Dr. Yuval Arbel
School of Business
Carmel Academic Center
4 Shaar Palmer Street, Haifa, Israel
e-mail: [email protected]
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