Answer to Question #173805 in Economics for claire

Question

Unit Root Test – Augmented Dicker Fuller Test

In order to implemented the Augmented Dickey- Fuller unit root test is to make sure the stationarity of all time-series data. Stationary time-series data are those that are exempt from the existence of the unit root. With the involvement of the unitroot, the differencing approach would be used to remove the unit root and leave the time-series data to be stationary. If the result of the time series data is non- stationary, it will lead to spurious regression. We assumed the variables in level and first difference with a constant, applying the lag length of ADF test using an Akaike Information Criterion (AIC) with an automatic maximum lag length of 7. 

 

Level

1st Differences 

Variable: 

Trends and Intercept

Intercept

UR

0.0114

0.0001

GDP

0.0000

0.0003

IF

0.0012

0.0000

PG

1.0000

0.0001

ER

0.0117

0.0013

Answer 1

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