Talk:Augmented Dickey-Fuller test

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why are elihu's ADF test numbers positive then?

The crucial factor is not whether the numbers are positive or negative but whether they are greater or smaller than the relevant tabulated critical values. Karina.l.k 12:44, 26 April 2007 (UTC)


In the example, the page currently says:

A sample of 50 observations and a model which includes a contant and a time trend yields the DFτ statistic of -2.57. This is greater than the tabulated critical value of -3.50 at the 95 per cent level so a unit root is present and the null hypothesis cannot be rejected.

In the last sentence, it's true that the null hypothosis cannot be rejected, but it is not necessarily true that a unit root is present. Failure to reject the null does not imply that the null is true.

I stuck to Greene but I agree that this formulation is sloppy, since one can also wrongly fail to reject the null or wrongly reject the null (Type I and Type II errors). I've changed it now, hope that it's better. Feel free to edit further as I think this example section could and should be expanded.Karina.l.k 08:05, 27 May 2007 (UTC)

Guest:, should the NULL Hypothesis be \hat{\gamma}=0 ? Please advise.

[Guest2] I think null should be gamma = 0, have seen this from two other sources —Preceding unsigned comment added by Steveok64 (talk • contribs) 19:11, 16 February 2008 (UTC)

Yes you are right, if the model is written with variables in levels, the null hypothese is gamma=1 but if the model is written in difference (as in this article), then the null hypothese becomes gamma=0.EtudiantEco —Preceding comment was added at 22:38, 17 February 2008 (UTC)
This issue (and a few others) now tidied up. —Preceding unsigned comment added by 203.20.253.5 (talk) 01:52, 23 April 2008 (UTC)