(Augmented) Dickey Fuller test statistic interpretation compared to critical values
Hi.
My lectures notes are particularly poor at describing how I actually perform a dickey fuller test.
I know how to rearrange the model and that the test for the unit root is also a test of signifance of the coefficient on the lagged dependant variable. Then it all goes to pieces.
Ive got the mackinnon tables in front of me and I'm not too sure what to compare my t stat against.
I understand the critical value changes if there is a constant and/or deterministic trend included as well,
Any and all help is much appreciated!!
My lectures notes are particularly poor at describing how I actually perform a dickey fuller test.
I know how to rearrange the model and that the test for the unit root is also a test of signifance of the coefficient on the lagged dependant variable. Then it all goes to pieces.
Ive got the mackinnon tables in front of me and I'm not too sure what to compare my t stat against.
I understand the critical value changes if there is a constant and/or deterministic trend included as well,
Any and all help is much appreciated!!
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