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st: Critical values Dickey Fuller test with 'drift'
From
Sissy Tuken <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: Critical values Dickey Fuller test with 'drift'
Date
Fri, 19 Jul 2013 22:51:55 +0200
When using the Dickey Fuller test to check whether a series data is stationary , I noticed that when using the dickey fuller test with 'drift',
(dfuller variable, drift regress) the same values for the coefficients is presented when performing the dickey fuller test without drift (that is: dfuller variable, regress). However, the critical values differ and most often in the tests with 'drift' the H0 can be rejected (series is stationary), while in the tests without 'drift' most often the H0 cannot be rejected.
When do you have to use drift in the dickey fuller test?
Thank you in advance!
With kind regards,
Sissy
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