38
Stata Technical Bulletin
STB-57
|
ε |
1.4S676 |
|
6 |
1.2861 |
|
7 |
1.13476 |
|
S |
1.01642 |
|
9 |
.921226 |
|
10 |
.84288 |
|
11 |
.777242 |
|
12 |
.721428 |
|
13 |
.673349 |
|
14 |
.631492 |
|
ιε |
.594708 |
|
16 |
.662121 |
|
df gls |
ftaret |
Number of obs = 355
Maxlag = 16 chosen by Schwert criterion
|
Test |
17, Critical |
57. |
Critical Value |
107. |
Critical Value | |
|
DF-GLSCtau)[16] |
-4.161 |
-3.480 |
-2.818 |
— -2.536 | ||
|
DF-GLSCtau)[16] |
-4.119 |
-3.480 |
-2.824 |
-2.542 | ||
|
DF-GLSCtau) [14] |
-4.413 |
-3.480 |
-2.829 |
-2.547 | ||
|
DF-GLSCtau)[13] |
-4.733 |
-3.480 |
-2.835 |
-2.552 | ||
|
DF-GLSCtau)[12] |
-4.663 |
-3.480 |
-2.840 |
-2.557 | ||
|
DF-GLSCtau) [11] |
-4.392 |
-3.480 |
-2.846 |
-2.562 | ||
|
DF-GLSCtau)[10] |
-4.653 |
-3.480 |
-2.851 |
-2.566 | ||
|
DF-GLSCtau) [9] |
-4.795 |
-3.480 |
-2.856 |
-2.571 | ||
|
DF-GLSCtau) [8] |
-4.931 |
-3.480 |
-2.861 |
-2.575 | ||
|
DF-GLSCtau) [7] |
-6.006 |
-3.480 |
-2.865 |
-2.580 | ||
|
DF-GLSCtau) [6] |
-6.203 |
-3.480 |
-2.870 |
-2.584 | ||
|
DF-GLSCtau) [6] |
-6.911 |
-3.480 |
-2.874 |
-2.588 | ||
|
DF-GLSCtau) [4] |
-7.614 |
-3.480 |
-2.879 |
-2.592 | ||
|
DF-GLSCtau) [3] |
-7.769 |
-3.480 |
-2.883 |
-2.595 | ||
|
DF-GLSCtau) [2] |
-9.176 |
-3.480 |
-2.887 |
-2.599 | ||
|
DF-GLSCtau) [1] |
-13.075 |
-3.480 |
-2.891 |
-2.602 | ||
|
Opt Lag CNg-Perron sequential |
t) = 8 with RMSE |
.0593867 | ||||
|
Min SC = -5.566828 at lag 2 |
with RMSE .0603119 | |||||
|
. dfgls ftaret, |
notrend | |||||
|
Number of obs = |
355 | |||||
|
Maxlag = 16 chosen by Schwert |
criterion | |||||
|
Test |
17. Critical |
57. |
Critical |
107. |
Critical | |
|
Statistic |
Value |
Value |
Value | |||
|
DF-GLSCmu) [16] |
-3.165 |
-2.580 |
-1.952 |
— -1.637 | ||
|
DF-GLSCmu)[15] |
-3.161 |
-2.580 |
-1.955 |
-1.640 | ||
|
DF-GLSCmu)[14] |
-3.430 |
-2.580 |
-1.958 |
-1.643 | ||
|
DF-GLSCmu) [13] |
-3.725 |
-2.580 |
-1.962 |
-1.646 | ||
|
DF-GLSCmu)[12] |
-3.711 |
-2.580 |
-1.965 |
-1.649 | ||
|
DF-GLSCmu)[11] |
-3.528 |
-2.580 |
-1.968 |
-1.652 | ||
|
DF-GLSCmu)[10] |
-3.776 |
-2.580 |
-1.971 |
-1.655 | ||
|
DF-GLSCmu) [9] |
-3.933 |
-2.580 |
-1.974 |
-1.658 | ||
|
DF-GLSCmu) [8] |
-4.087 |
-2.580 |
-1.977 |
-1.660 | ||
|
DF-GLSCmu) [7] |
-5.039 |
-2.580 |
-1.980 |
-1.663 | ||
|
DF-GLSCmu) [6] |
-5.278 |
-2.580 |
-1.982 |
-1.665 | ||
|
DF-GLSCmu) [5] |
-5.966 |
-2.580 |
-1.985 |
-1.668 | ||
|
DF-GLSCmu)[4] |
-6.679 |
-2.580 |
-1.988 |
-1.670 | ||
|
DF-GLSCmu) [3] |
-6.928 |
-2.580 |
-1.990 |
-1.672 | ||
|
DF-GLSCmu) [2] |
-8.312 |
-2.580 |
-1.993 |
-1.675 | ||
|
DF-GLSCmu)[1] |
-12.060 |
-2.580 |
-1.995 |
-1.677 | ||
|
Opt Lag CNg-Perron sequential |
t) = 8 with RMSE |
.0600067 | ||||
Min SC = -5.53158 at lag 2 with RMSE .0613843
Both tests indicate that ftap appears to be nonstationary. ftaret appears to be both trend and level stationary.