Re: [Gretl-users] ADF test: tau statistic
Charles Koss schrieb:
I am running a ADF test for a time series, what is the test
statistic
tau? I understand that the null hypothesis is rejected when the
comparison is made with the critical values.
estimated value of (a - 1): -0.0673784
test statistic: tau = -1.63219
10% 5% 2.5% 1%
Critical values: -2.89 -3.19 -3.46 -3.77
it's the t-statistic of the lagged level term, i.e. the t-stat of the
null hypothesis a=1.
cheers,
sven