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.
Case 3: constant term but no time trend; true process is a random walk with
drift.
In Gretl, Case 1 is equivalent to performing the test with the "test
without constant" checked.
Case 2 is equivalent to performing the test with the "with constant"
checked.
For Case 3 I was told to perform case 2 followed by OLS. I am not sure if
this means checking also "show regression results" and if yes how do I
proceed then? If this is not the case what should I do(in simple terms)
after the Case 2 test to get the output of Case 3.
Many thanks
M