Why are the ADF results from matlab and eviews different?
Afficher commentaires plus anciens
The time series i'm testing is us import. Using Eviews7 with automatically selected lags 2 (no intercept,no trend), it is stationary with t-stats -2.531127 and pValue 0.0115.
Using Matlab, only when Lags = 7 it passes with t-stats -2.49402 and pValue 0.012922. [h,pValue,stat] = adftest(xtr.im_us,'Lags',1:8);
Can anyone tell me what was wrong please?
Many thanks.
Réponses (1)
Joe
le 21 Avr 2014
0 votes
Maybe rounding errors...
Joe
Catégories
En savoir plus sur Hypothesis Tests dans Centre d'aide et File Exchange
le 2 Sep 2011
le 21 Avr 2014
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!
Translated by 
