Re: [Gretl-users] ADF TEST CASE 3

Am 01.03.2015 um 17:37 schrieb Mark Scerri: > HI, > I am rather new to time series analysis. I am trying to perform a unit > root test. I have been advised to perform the test on three cases. > Case 1: no constant term or time trend; True process is a random walk. > Case 2: constant term but no time trend: true process is a random walk. here the constant term is only needed for the alternative hypothesis > Case 3: constant term but no time trend; true process is a random walk > with drift. here the constant is also needed for the null, because with a unit root it cumulates to a drift (=linear time trend term). But this case makes no sense really for testing. Because if you specify the null as containing a drift/trend, it is almost surely nonsense to not allow a trend under the alternative (trend stationarity). So are you sure that's really what you were asked to do? -sven _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users