Question
The analyst takes the natural log of the data before beginning further data analysis.She then tests for a unit root using the logged data from
The analyst takes the natural log of the data before beginning further data analysis.She then tests for a unit root using the logged data from January 2000 through to the December 2019, using an Augmented Dickey Fuller test, allowing for a drift and trend. The analyst includes 4 lagged differences of the logged data as regressors. The test statistic is -2.54. The critical value defining the rejection region for the Augmented Dickey-Fuller testwith the number of observations that have been used is -4.00 at the 1% level of significance. Perform the Augmented Dickey-Fuller test at the 1% level of significance, stating both the null hypothesis and the alternative hypothesis, the decision rule, and the conclusion of the test.
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started