Is it correct that ADF always uses the whole range instead of the current
sample?
? adf 8 log(salarios) --ct
Augmented Dickey-Fuller test for l_salarios
including 8 lags of (1-L)l_salarios
sample size 19
unit-root null hypothesis: a = 1
with constant and trend
model: (1-L)y = b0 + b1*t + (a-1)*y(-1) + ... + e
1st-order autocorrelation coeff. for e: 0,179
lagged differences: F(8, 8) = 4,559 [0,0231]
estimated value of (a - 1): -0,979101
test statistic: tau_ct(1) = -5,3047
asymptotic p-value 4,382e-005
? smpl
Full data range: 2002:1 - 2008:4 (n = 28)
? smpl
Full data range: 2002:1 - 2008:4 (n = 28)
Current sample: 2004:1 - 2008:4 (n = 20)
? adf 8 log(salarios) --ct
Augmented Dickey-Fuller test for l_salarios
including 8 lags of (1-L)l_salarios
sample size 19
unit-root null hypothesis: a = 1
with constant and trend
model: (1-L)y = b0 + b1*t + (a-1)*y(-1) + ... + e
1st-order autocorrelation coeff. for e: 0,179
lagged differences: F(8, 8) = 4,559 [0,0231]
estimated value of (a - 1): -0,979101
test statistic: tau_ct(1) = -5,3047
asymptotic p-value 4,382e-005
Thanks!