Effacer les filtres
Effacer les filtres

Why are the ADF results from matlab and eviews different?

2 vues (au cours des 30 derniers jours)
yvette-hyq
yvette-hyq le 2 Sep 2011
Réponse apportée : Joe le 21 Avr 2014
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.

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Joe
Joe le 21 Avr 2014
Maybe rounding errors...
Joe

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