RON70
2009-Jan-21 03:51 UTC
[R] Serious difference between the result of ADF test in R and Eviews
I found there is serious difference between the result of ADF test in R and Eviews, for this data :> datV1 1 -0.075851693 2 -0.046125504 3 -0.009117161 4 0.025569817 5 0.034882743 6 0.073671497 7 0.063805297 8 0.062306796 9 0.072343820 10 0.058354121 11 -0.007635359 12 0.086790779 13 0.085487789 14 0.113577103 15 0.021293381 16 0.089423068 17 0.090485998 18 0.128847827 19 0.011859335 20 0.058794744 21 0.065909368 22 0.020887431 23 0.085387467 24 0.097375525 25 0.108981417 26 0.044289044 27 0.071428571 28 0.052430556 29 0.056307049 30 0.041957314 R results says, Unit root hypothesis can not be rejected :> adf.test(dat, k=1)Augmented Dickey-Fuller Test data: dat Dickey-Fuller = -3.5458, Lag order = 1, p-value = 0.0554 alternative hypothesis: stationary However below the Eviews result Null Hypothesis: SERIES02 has a unit root Exogenous: Constant Lag Length: 1 (Fixed) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -3.992560 0.0048 Test critical values: 1% level -3.689194 5% level -2.971853 10% level -2.625121 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(SERIES02) Method: Least Squares Date: 01/21/09 Time: 09:16 Sample (adjusted): 3 30 Included observations: 28 after adjustments Variable Coefficient Std. Error t-Statistic Prob. SERIES02(-1) -0.728468 0.182456 -3.992560 0.0005 D(SERIES02(-1)) -0.182826 0.154154 -1.185993 0.2468 C 0.046094 0.012152 3.793043 0.0008 R-squared 0.510689 Mean dependent var 0.003146 Adjusted R-squared 0.471545 S.D. dependent var 0.047487 S.E. of regression 0.034520 Akaike info criterion -3.793578 Sum squared resid 0.029791 Schwarz criterion -3.650842 Log likelihood 56.11010 F-statistic 13.04615 Durbin-Watson stat 2.127111 Prob(F-statistic) 0.000132 Therefore Eviews rejects the null of unit root. Have you face this kind of problem earlier or I am missing something? -- View this message in context: http://www.nabble.com/Serious-difference-between-the-result-of-ADF-test-in-R-and-Eviews-tp21576706p21576706.html Sent from the R help mailing list archive at Nabble.com.