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  • ADF X 1st Different Stasioner

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    Naura Pradipta Khairunnisa
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    The Augmented Dickey-Fuller test was conducted on the first differences of variable X (D(X)) with no exogenous variables and a lag length of 0. The test statistic of -11.62495 is lower than the 1% critical value, so the null hypothesis that D(X) has a unit root is rejected. The Dickey-Fuller regression shows the coefficient on the lagged first difference of X is negative and highly significant.

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    ADF X 1st different stasioner

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    The Augmented Dickey-Fuller test was conducted on the first differences of variable X (D(X)) with no exogenous variables and a lag length of 0. The test statistic of -11.62495 is lower than the 1% critical value, so the null hypothesis that D(X) has a unit root is rejected. The Dickey-Fuller regression shows the coefficient on the lagged first difference of X is negative and highly significant.

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    6 views1 page

    ADF X 1st Different Stasioner

    Uploaded by

    Naura Pradipta Khairunnisa
    The Augmented Dickey-Fuller test was conducted on the first differences of variable X (D(X)) with no exogenous variables and a lag length of 0. The test statistic of -11.62495 is lower than the 1% critical value, so the null hypothesis that D(X) has a unit root is rejected. The Dickey-Fuller regression shows the coefficient on the lagged first difference of X is negative and highly significant.

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    of 1

    Augmented Dickey-Fuller Unit Root Test on D(X)

    Null Hypothesis: D(X) has a unit root


    Exogenous: None
    Lag Length: 0 (Automatic - based on AIC, maxlag=8)

    t-Statistic Prob.*

    Augmented Dickey-Fuller test statistic -11.62495 0.0000


    Test critical values: 1% level -2.581349
    5% level -1.943090
    10% level -1.615220

    *MacKinnon (1996) one-sided p-values.

    Augmented Dickey-Fuller Test Equation


    Dependent Variable: D(X,2)
    Method: Least Squares
    Date: 03/14/23 Time: 16:33
    Sample (adjusted): 2011M03 2022M12
    Included observations: 142 after adjustments

    Variable Coefficient Std. Error t-Statistic Prob.

    D(X(-1)) -0.978323 0.084157 -11.62495 0.0000

    R-squared 0.489384 Mean dependent var 0.004210


    Adjusted R-squared 0.489384 S.D. dependent var 1.421483
    S.E. of regression 1.015755 Akaike info criterion 2.876159
    Sum squared resid 145.4779 Schwarz criterion 2.896975
    Log likelihood -203.2073 Hannan-Quinn criter. 2.884617
    Durbin-Watson stat 2.001921

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