Re: [Gretl-users] help with SVAR

On Tue, 22 May 2012, Claudio Shikida wrote: > Here is a strange thing. I took the real GDP per capita (chain) from China > and USA (Penn World Tables, Gretl, Database). I used the whole sample > (1950-2004, if I am not wrong) > > So I started a basic work with time series. I applied an ADF test in the > China's variable using constant and trend, with general-to-particular > approach in lags, starting with 10 lags. > > Here is the result. > > Dickey-Fuller test for CHN_RGDPCH > sample size 52 > 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: 0.092 > estimated value of (a - 1): 0.0677971 > test statistic: tau_ct(1) = 7.65922 > p-value 1 > > Look, why is this p-value equal "one"? Any tips? It's equal to (well, approximately equal to) 1 because this sample of 52 observations provides no evidence whatever against the null hypothesis that Chinese real GDP per capita is a unit-root process (allowing for a linear trend). That's not very surprising if you run an OLS regression of CHN_RGDPCH on a time trend and look at the residuals. They are anything but white noise; it's obvious to the eye they are non-stationary.