Question
Hi i have some stock exchange time series data and i want the following analysis be done The Dickey Fuller Test (sometimes called a Dickey
Hi
i have some stock exchange time series data and i want the following analysis be done
The Dickey Fuller Test (sometimes called a Dickey Pantula test), which is based on linear regression. Serial correlation can be an issue, in which case the Augmented Dickey-Fuller (ADF) test can be used. The ADF handles bigger, more complex models. It does have the downside of a fairly high Type I error rate.
The Elliott-Rothenberg-Stock Test, which has two subtypes:
The P-test takes the error term's serial correlation into account,
The DF-GLS test can be applied to detrended data without intercept.
The Schmidt-Phillips Test includes the coefficients of the deterministic variables in the null and alternate hypotheses. Subtypes are the rho-test and the tau-test.
The Phillips-Perron (PP) Test is a modification of the Dickey Fuller test, and corrects for autocorrelation and heteroscedasticity in the errors.
The Zivot-Andrews test allows a break at an unknown point in the intercept or linear trend.
Kwiatkowski-Phillips-Schmidt-Shin (KPSS) for level or trend stationarity
I(d) test results
i) white noise disturbances
ii) AR(1) disturbances
iii) Bloomfield (m = 1) disturbances
In bold the selected models according to the deterministic terms. In parenthesis, the 95% confidence intervals of the non-rejection values of d.
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