Timeline for Unit root testing in Eviews
Current License: CC BY-SA 4.0
5 events
| when toggle format | what | by | license | comment | |
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| Apr 24, 2020 at 10:08 | history | edited | 1muflon1♦ | CC BY-SA 4.0 |
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| Apr 24, 2020 at 1:40 | comment | added | Michael | My guess is the plot of the de-trended series from the ADF regression would look like a stationary series. For an ADF t-stat to have p-value of 0.02 basically means running an AR(1) regression on the series gives a estimate far enough below 1. So at least if you eyeball the series it would appear borderline stationary. With trend this would be less visible as the linear trend dominates the stochastic trend. It would be interesting to know which country's GDP this is. | |
| Apr 24, 2020 at 1:29 | comment | added | 1muflon1♦ | @Michael you are right, my bad I will correct that, although it’s still important to get lags right as overfitting lowers the power of the test although that’s probably not problem with only two lags | |
| Apr 24, 2020 at 1:26 | comment | added | Michael | Not controlling for serial correlation in error term will make a non-unit root series appear unit-root-like. The (suggested) issue here is the opposite one. | |
| Apr 23, 2020 at 11:13 | history | answered | 1muflon1♦ | CC BY-SA 4.0 |