The Augmented Dickey-Fuller Unit-Root Test in OxMetrics
Автор: Morten Nyboe Tabor
Загружено: 2015-11-26
Просмотров: 15994
We demonstrate how to estimate a univariate AR(3) model and the equivalent ECM representation in OxMetrics, and we show how to perform the Augmented Dickey-Fuller test for a unit root.
The demonstration is based on data for the log of Danish Private Consumption covering quarterly data from 1971:1 to 2005:2. We reproduce the results presented on slide 30 in the lecture slides on unit root testing.
First, we estimate an AR(3) model with a constant and trend term, and we estimate the equivalent ECM representation. We briefly consider the misspecification tests and remove one insignificant lag in the model. Second, we do a Dickey-Fuller unit-root test of the null of a unit root process with a drift and a quadratic trend (under the null) against trend-stationarity. We cannot reject the null hypothesis. Finally, we do a LR-test of the null of a unit root process with a drift, but no quadratic trend, against the alternative of trend-stationarity, which is a more natural comparison under the null and alternative. Again, we cannot reject the null of a unit root.
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