Hi,

I've been running the ADF test for 2 variables, however when I view the regression results of the ADF test, it appears to perform it differently for each variable. The outputs for each variable are pasted below. The first one tests the differenced u variable against u_1 and d_u_1 (plus seasonal dummies), which you would expect for the test. However for s, it leaves out the d_s_1 element. I've found this happening with a number of other variables in different models.

Is this still performing a correct ADF test or should I be doing something differently?

Any information you could offer would be hugely appreciated

Augmented Dickey-Fuller test for u

including one lag of (1-L)u (max was 1)

sample size 93

unit-root null hypothesis: a = 1

test with constant plus seasonal dummies

model: (1-L)y = b0 + (a-1)*y(-1) + ... + e

1st-order autocorrelation coeff. for e: -0.023

estimated value of (a - 1): -0.121213

test statistic: tau_c(1) = -1.98793

asymptotic p-value 0.2924

Augmented Dickey-Fuller regression

OLS, using observations 1980:03-1987:11 (T = 93)

Dependent variable: d_u

coefficient std. error t-ratio p-value

---------------------------------------------------------

const 0.0512208 0.00498901 10.27 3.37e-016 ***

u_1 -0.121213 0.0609744 -1.988 0.2924

d_u_1 -0.290699 0.106952 -2.718 0.0081 ***

dm1 -0.0616078 0.00781483 -7.883 1.47e-011 ***

dm2 -0.0914671 0.00835130 -10.95 1.64e-017 ***

dm3 -0.0703498 0.00808719 -8.699 3.77e-013 ***

dm4 -0.0598935 0.00699811 -8.559 7.09e-013 ***

dm5 -0.0549386 0.00698092 -7.870 1.56e-011 ***

dm6 -0.0216324 0.00692478 -3.124 0.0025 ***

dm7 -0.0375700 0.00692756 -5.423 6.20e-07 ***

dm8 -0.0733871 0.00660600 -11.11 8.23e-018 ***

dm9 -0.0622728 0.00756849 -8.228 3.13e-012 ***

dm10 -0.0360162 0.00685525 -5.254 1.23e-06 ***

dm11 -0.0341986 0.00663768 -5.152 1.85e-06 ***

AIC: -536.222 BIC: -500.766 HQC: -521.906

Dickey-Fuller test for s

sample size 95

unit-root null hypothesis: a = 1

test with constant plus seasonal dummies

model: (1-L)y = b0 + (a-1)*y(-1) + e

1st-order autocorrelation coeff. for e: -0.008

estimated value of (a - 1): -1.26693

test statistic: tau_c(1) = -11.9177

p-value 0.002828

Dickey-Fuller regression

OLS, using observations 1980:02-1987:12 (T = 95)

Dependent variable: d_s

coefficient std. error t-ratio p-value

---------------------------------------------------------

const 0.378700 0.0383446 9.876 1.31e-015 ***

s_1 -1.26693 0.106307 -11.92 0.0028 ***

dm1 -0.424225 0.0774678 -5.476 4.64e-07 ***

dm2 -0.462089 0.0504077 -9.167 3.35e-014 ***

dm3 -0.381479 0.0512581 -7.442 8.79e-011 ***

dm4 -0.338558 0.0526217 -6.434 7.84e-09 ***

dm5 -0.113624 0.0535687 -2.121 0.0369 **

dm6 -0.182175 0.0651366 -2.797 0.0064 ***

dm7 -0.439919 0.0575612 -7.643 3.55e-011 ***

dm8 -0.432768 0.0505549 -8.560 5.39e-013 ***

dm9 -0.500302 0.0516082 -9.694 3.01e-015 ***

dm10 -0.543976 0.0504374 -10.79 2.14e-017 ***

dm11 -0.547869 0.0503964 -10.87 1.45e-017 ***

AIC: -154.374 BIC: -121.173 HQC: -140.958

Thanks

Philip Braithwaite