Adf test its application and a solved example

Intercept exports
ADF Test Statistic

-1.473917

1% Critical Value*
-3.6661
5% Critical Value
-2.9627
10% Critical Value
-2.6200
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(EXPORTS)
Method: Least Squares
Date: 02/12/11 Time: 01:17
Sample(adjusted): 1979 2008
Included observations: 30 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
EXPORTS(-1)
-0.045026
0.030548 -1.473917
C
0.166724
0.056466
2.952623
R-squared
0.072001 Mean dependent var
Adjusted R-squared
0.038858 S.D. dependent var
S.E. of regression
0.112611 Akaike info criterion
Sum squared resid
0.355074 Schwarz criterion
Log likelihood
23.98124 F-statistic
Durbin-Watson stat
1.680057 Prob(F-statistic)

Prob.
0.1517
0.0063
0.089210
0.114865
-1.465416
-1.372003
2.172431
0.151659

Trend and intercept exports

ADF Test Statistic

-3.105081

1% Critical Value*
-4.2949
5% Critical Value
-3.5670
10% Critical Value
-3.2169
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(EXPORTS)
Method: Least Squares
Date: 02/12/11 Time: 01:18
Sample(adjusted): 1979 2008
Included observations: 30 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
EXPORTS(-1)
-0.385676
0.124208 -3.105081
C
0.332264
0.077615
4.280905
@TREND(1978)
0.027155
0.009658
2.811640
R-squared
0.282173 Mean dependent var
Adjusted R-squared
0.229001 S.D. dependent var
S.E. of regression
0.100859 Akaike info criterion
Sum squared resid
0.274657 Schwarz criterion
Log likelihood
27.83328 F-statistic
Durbin-Watson stat
1.561652 Prob(F-statistic)

Imports

Prob.
0.0044
0.0002
0.0091
0.089210
0.114865
-1.655552
-1.515432
5.306757
0.011383

ADF Test Statistic

0.551631

1% Critical Value*
-3.6661
5% Critical Value
-2.9627
10% Critical Value
-2.6200
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(IMPORTS)
Method: Least Squares
Date: 02/12/11 Time: 01:20
Sample(adjusted): 1979 2008
Included observations: 30 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
IMPORTS(-1)
0.024893
0.045127
0.551631
C
0.035143
0.099678
0.352568
R-squared
0.010751 Mean dependent var
Adjusted R-squared
-0.024579 S.D. dependent var
S.E. of regression
0.131926 Akaike info criterion
Sum squared resid
0.487327 Schwarz criterion
Log likelihood
19.23212 F-statistic
Durbin-Watson stat
1.211759 Prob(F-statistic)

Prob.
0.5856
0.7271
0.088500
0.130334
-1.148808
-1.055395
0.304297
0.585577

Trend and intercept

ADF Test Statistic

-0.617636

1% Critical Value*
-4.2949
5% Critical Value
-3.5670
10% Critical Value
-3.2169
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(IMPORTS)
Method: Least Squares
Date: 02/12/11 Time: 01:21
Sample(adjusted): 1979 2008
Included observations: 30 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
IMPORTS(-1)
-0.078023
0.126325 -0.617636
C
0.150347
0.165660
0.907563
@TREND(1978)
0.006799
0.007790
0.872798
R-squared
0.037896 Mean dependent var
Adjusted R-squared
-0.033371 S.D. dependent var
S.E. of regression
0.132491 Akaike info criterion
Sum squared resid
0.473954 Schwarz criterion
Log likelihood
19.64947 F-statistic
Durbin-Watson stat
1.125993 Prob(F-statistic)

Prob.
0.5420
0.3721
0.3905
0.088500
0.130334
-1.109965
-0.969845
0.531742
0.593607

Reer trend
ADF Test Statistic

-1.460672

1% Critical Value*
5% Critical Value

-3.6661
-2.9627

10% Critical Value

-2.6200
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(REER)
Method: Least Squares
Date: 02/12/11 Time: 01:22
Sample(adjusted): 1979 2008
Included observations: 30 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
REER(-1)
-0.053022
0.036300 -1.460672
C
0.227187
0.173569
1.308908
R-squared
0.070804 Mean dependent var
Adjusted R-squared
0.037618 S.D. dependent var
S.E. of regression
0.057707 Akaike info criterion
Sum squared resid
0.093244 Schwarz criterion
Log likelihood
44.03783 F-statistic
Durbin-Watson stat
1.719608 Prob(F-statistic)

Prob.
0.1552
0.2012
-0.025874
0.058824
-2.802522
-2.709109
2.133563
0.155237

Trend and intercept

ADF Test Statistic

-0.993158

1% Critical Value*
-4.2949
5% Critical Value
-3.5670
10% Critical Value
-3.2169
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(REER)
Method: Least Squares
Date: 02/12/11 Time: 01:22
Sample(adjusted): 1979 2008
Included observations: 30 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
REER(-1)
-0.104830
0.105552 -0.993158
C
0.503183
0.555631
0.905606
@TREND(1978)
-0.001853
0.003540 -0.523648
R-squared
0.080145 Mean dependent var
Adjusted R-squared
0.012008 S.D. dependent var
S.E. of regression
0.058470 Akaike info criterion
Sum squared resid
0.092307 Schwarz criterion
Log likelihood
44.18940 F-statistic
Durbin-Watson stat
1.648621 Prob(F-statistic)

Prob.
0.3295
0.3732
0.6048
-0.025874
0.058824
-2.745960
-2.605840
1.176233
0.323749

M2gdr intercept
ADF Test Statistic

-3.982835

1% Critical Value*
-3.6661
5% Critical Value
-2.9627
10% Critical Value
-2.6200
*MacKinnon critical values for rejection of hypothesis of a unit root.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(M2GDR)
Method: Least Squares
Date: 02/12/11 Time: 01:23
Sample(adjusted): 1979 2008
Included observations: 30 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
M2GDR(-1)
-0.695384
0.174595 -3.982835
C
0.105739
0.028784
3.673516
R-squared
0.361648 Mean dependent var
Adjusted R-squared
0.338850 S.D. dependent var
S.E. of regression
0.046385 Akaike info criterion
Sum squared resid
0.060243 Schwarz criterion
Log likelihood
50.59037 F-statistic
Durbin-Watson stat
2.093996 Prob(F-statistic)

Prob.
0.0004
0.0010
-0.003829
0.057046
-3.239358
-3.145945
15.86298
0.000440

Intercept and trend

ADF Test Statistic

-3.929066

1% Critical Value*
-4.2949
5% Critical Value
-3.5670
10% Critical Value
-3.2169
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(M2GDR)
Method: Least Squares
Date: 02/12/11 Time: 01:24
Sample(adjusted): 1979 2008
Included observations: 30 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
M2GDR(-1)
-0.704404
0.179280 -3.929066
C
0.112585
0.035236
3.195190
@TREND(1978)
-0.000350
0.001005 -0.348377
R-squared
0.364505 Mean dependent var
Adjusted R-squared
0.317431 S.D. dependent var
S.E. of regression
0.047130 Akaike info criterion
Sum squared resid
0.059973 Schwarz criterion
Log likelihood
50.65765 F-statistic
Durbin-Watson stat
2.082752 Prob(F-statistic)

Prob.
0.0005
0.0035
0.7303
-0.003829
0.057046
-3.177176
-3.037057
7.743282
0.002198

Rgdp trend
ADF Test Statistic

-1.500214

1% Critical Value*
-3.6661
5% Critical Value
-2.9627
10% Critical Value
-2.6200
*MacKinnon critical values for rejection of hypothesis of a unit root.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RGDP)
Method: Least Squares
Date: 02/12/11 Time: 01:25
Sample(adjusted): 1979 2008
Included observations: 30 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
RGDP(-1)
-0.011506
0.007669 -1.500214
C
0.142346
0.060038
2.370932
R-squared
0.074400 Mean dependent var
Adjusted R-squared
0.041343 S.D. dependent var
S.E. of regression
0.018127 Akaike info criterion
Sum squared resid
0.009200 Schwarz criterion
Log likelihood
78.77810 F-statistic
Durbin-Watson stat
1.430807 Prob(F-statistic)

Prob.
0.1448
0.0249
0.052413
0.018513
-5.118540
-5.025127
2.250643
0.144752

Intercept and trend

ADF Test Statistic

-1.879098

1% Critical Value*
-4.2949
5% Critical Value
-3.5670
10% Critical Value
-3.2169
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(RGDP)
Method: Least Squares
Date: 02/12/11 Time: 01:25
Sample(adjusted): 1979 2008
Included observations: 30 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
RGDP(-1)
-0.132512
0.070519 -1.879098
C
0.994140
0.497050
2.000082
@TREND(1978)
0.006066
0.003516
1.725496
R-squared
0.166330 Mean dependent var
Adjusted R-squared
0.104577 S.D. dependent var
S.E. of regression
0.017519 Akaike info criterion
Sum squared resid
0.008286 Schwarz criterion
Log likelihood
80.34717 F-statistic
Durbin-Watson stat
1.418882 Prob(F-statistic)

Prob.
0.0711
0.0556
0.0959
0.052413
0.018513
-5.156478
-5.016358
2.693459
0.085787

After first difference exports trend

ADF Test Statistic

-4.713989

1% Critical Value*
-3.6752
5% Critical Value
-2.9665
10% Critical Value
-2.6220
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(EXPORTS,2)
Method: Least Squares

Date: 02/12/11 Time: 01:29

Sample(adjusted): 1980 2008
Included observations: 29 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
D(EXPORTS(-1))
-0.859746
0.182382 -4.713989
C
0.070749
0.026409
2.678949
R-squared
0.451461 Mean dependent var
Adjusted R-squared
0.431145 S.D. dependent var
S.E. of regression
0.112711 Akaike info criterion
Sum squared resid
0.343000 Schwarz criterion
Log likelihood
23.19195 F-statistic
Durbin-Watson stat
2.042344 Prob(F-statistic)

Prob.
0.0001
0.0124
-0.005173
0.149439
-1.461514
-1.367218
22.22169
0.000066

With intercept and trend

ADF Test Statistic

-4.602547

1% Critical Value*
-4.3082
5% Critical Value
-3.5731
10% Critical Value
-3.2203
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(EXPORTS,2)
Method: Least Squares
Date: 02/12/11 Time: 01:30
Sample(adjusted): 1980 2008
Included observations: 29 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
D(EXPORTS(-1))
-0.868982
0.188805 -4.602547
C
0.082617
0.051980
1.589408
@TREND(1978)
-0.000691
0.002590 -0.266739
R-squared
0.452958 Mean dependent var
Adjusted R-squared
0.410878 S.D. dependent var
S.E. of regression
0.114701 Akaike info criterion
Sum squared resid
0.342064 Schwarz criterion
Log likelihood
23.23158 F-statistic
Durbin-Watson stat
2.030059 Prob(F-statistic)

Prob.
0.0001
0.1241
0.7918
-0.005173
0.149439
-1.395281
-1.253837
10.76419
0.000393

Imports trend
ADF Test Statistic

-3.511677

1% Critical Value*
-3.6752
5% Critical Value
-2.9665
10% Critical Value
-2.6220
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(IMPORTS,2)
Method: Least Squares
Date: 02/12/11 Time: 01:31

Sample(adjusted): 1980 2008

Included observations: 29 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
D(IMPORTS(-1))
-0.627197
0.178603 -3.511677
C
0.051614
0.026846
1.922560
R-squared
0.313534 Mean dependent var
Adjusted R-squared
0.288109 S.D. dependent var
S.E. of regression
0.120993 Akaike info criterion
Sum squared resid
0.395258 Schwarz criterion
Log likelihood
21.13570 F-statistic
Durbin-Watson stat
1.875159 Prob(F-statistic)

Prob.
0.0016
0.0651
1.09E-05
0.143401
-1.319703
-1.225407
12.33187
0.001585

Trend and intercept

ADF Test Statistic

-3.649662

1% Critical Value*
-4.3082
5% Critical Value
-3.5731
10% Critical Value
-3.2203
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(IMPORTS,2)
Method: Least Squares
Date: 02/12/11 Time: 01:33
Sample(adjusted): 1980 2008
Included observations: 29 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
D(IMPORTS(-1))
-0.645860
0.176964 -3.649662
C
-0.002114
0.049153 -0.043016
@TREND(1978)
0.003454
0.002661
1.298118
R-squared
0.355317 Mean dependent var
Adjusted R-squared
0.305726 S.D. dependent var
S.E. of regression
0.119486 Akaike info criterion
Sum squared resid
0.371200 Schwarz criterion
Log likelihood
22.04627 F-statistic
Durbin-Watson stat
1.964132 Prob(F-statistic)

Prob.
0.0012
0.9660
0.2056
1.09E-05
0.143401
-1.313536
-1.172092
7.164949
0.003323

Reer intercept
ADF Test Statistic

-4.688041

1% Critical Value*
-3.6752
5% Critical Value
-2.9665
10% Critical Value
-2.6220
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(REER,2)
Method: Least Squares
Date: 02/12/11 Time: 01:35
Sample(adjusted): 1980 2008
Included observations: 29 after adjusting endpoints

Variable
D(REER(-1))
C
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

Coefficient
-0.870882
-0.019980
0.448729
0.428312
0.058782
0.093294
42.07051
1.882990

Std. Error
t-Statistic
0.185767 -4.688041
0.011965 -1.669881
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

Prob.
0.0001
0.1065
0.002992
0.077744
-2.763483
-2.669187
21.97773
0.000070

Intercept and trend

ADF Test Statistic

-4.678528

1% Critical Value*
-4.3082
5% Critical Value
-3.5731
10% Critical Value
-3.2203
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(REER,2)
Method: Least Squares
Date: 02/12/11 Time: 01:35
Sample(adjusted): 1980 2008
Included observations: 29 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
D(REER(-1))
-0.898384
0.192023 -4.678528
C
-0.035292
0.025674 -1.374613
@TREND(1978)
0.000912
0.001349
0.675992
R-squared
0.458251 Mean dependent var
Adjusted R-squared
0.416578 S.D. dependent var
S.E. of regression
0.059382 Akaike info criterion
Sum squared resid
0.091683 Schwarz criterion
Log likelihood
42.32314 F-statistic
Durbin-Watson stat
1.869926 Prob(F-statistic)

Prob.
0.0001
0.1810
0.5050
0.002992
0.077744
-2.711941
-2.570496
10.99634
0.000346

M2gdr intercept
ADF Test Statistic

-7.925095

1% Critical Value*
-3.6752
5% Critical Value
-2.9665
10% Critical Value
-2.6220
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(M2GDR,2)
Method: Least Squares
Date: 02/12/11 Time: 01:36
Sample(adjusted): 1980 2008
Included observations: 29 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
D(M2GDR(-1))
-1.427184
0.180084 -7.925095

Prob.
0.0000

C
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

-0.004730
0.699356
0.688221
0.053757
0.078025
44.66210
1.963247

0.009985 -0.473666
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

0.6395
-0.002775
0.096275
-2.942214
-2.847917
62.80714
0.000000

Intercept and trend

ADF Test Statistic

-7.828303

1% Critical Value*
-4.3082
5% Critical Value
-3.5731
10% Critical Value
-3.2203
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(M2GDR,2)
Method: Least Squares
Date: 02/12/11 Time: 01:37
Sample(adjusted): 1980 2008
Included observations: 29 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
D(M2GDR(-1))
-1.438584
0.183767 -7.828303
C
-0.015133
0.021978 -0.688547
@TREND(1978)
0.000649
0.001218
0.533244
R-squared
0.702608 Mean dependent var
Adjusted R-squared
0.679732 S.D. dependent var
S.E. of regression
0.054484 Akaike info criterion
Sum squared resid
0.077181 Schwarz criterion
Log likelihood
44.81982 F-statistic
Durbin-Watson stat
1.965486 Prob(F-statistic)

Prob.
0.0000
0.4972
0.5984
-0.002775
0.096275
-2.884125
-2.742681
30.71337
0.000000

Rgdp intercept
ADF Test Statistic

-3.650189

1% Critical Value*
-3.6752
5% Critical Value
-2.9665
10% Critical Value
-2.6220
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(RGDP,2)
Method: Least Squares
Date: 02/12/11 Time: 01:37
Sample(adjusted): 1980 2008
Included observations: 29 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(RGDP(-1))
-0.674546
0.184798 -3.650189
0.0011
C
0.035125
0.010354
3.392292
0.0022
R-squared
0.330422 Mean dependent var
-0.000608
Adjusted R-squared
0.305622 S.D. dependent var
0.021804

S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.018170
0.008914
76.11922
1.996298

Akaike info criterion

Schwarz criterion
F-statistic
Prob(F-statistic)

-5.111670
-5.017374
13.32388
0.001108

Intercept and trend

ADF Test Statistic

-3.785035

1% Critical Value*
-4.3082
5% Critical Value
-3.5731
10% Critical Value
-3.2203
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(RGDP,2)
Method: Least Squares
Date: 02/12/11 Time: 01:38
Sample(adjusted): 1980 2008
Included observations: 29 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
D(RGDP(-1))
-0.713279
0.188447 -3.785035
C
0.043923
0.013440
3.268053
@TREND(1978)
-0.000422
0.000411 -1.025348
R-squared
0.356444 Mean dependent var
Adjusted R-squared
0.306940 S.D. dependent var
S.E. of regression
0.018152 Akaike info criterion
Sum squared resid
0.008567 Schwarz criterion
Log likelihood
76.69399 F-statistic
Durbin-Watson stat
1.991652 Prob(F-statistic)

Prob.
0.0008
0.0030
0.3146
-0.000608
0.021804
-5.082344
-4.940900
7.200275
0.003248