Null Hypothesis: UR has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=7) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(UR) Method: Least Squares Date: 10/30/22 Time: 12:01 Sample (adjusted): 1992 2021 Included observations: 30 after adjustments Variable UR(-1) с R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Coefficient -0.250702 5.259639 Std. Error t-Statistic -2.228169 0.2010 -3.670170 -2.963972 -2.621007 t-Statistic 0.112515 -2.228169 5.916721 0.888945 0.150608 Mean dependent var 0.120272 S.D. dependent var 26.16191 Akaike info criterion 19164.48 Schwarz criterion Prob.* -139.4624 Hannan-Quinn criter. 4.964739 Durbin-Watson stat 0.034078 Prob. 0.0341 0.3816 -2.520703 27.89301 9.430827 9.524240 9.460711 1.523559
Null Hypothesis: UR has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=7) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(UR) Method: Least Squares Date: 10/30/22 Time: 12:01 Sample (adjusted): 1992 2021 Included observations: 30 after adjustments Variable UR(-1) с R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Coefficient -0.250702 5.259639 Std. Error t-Statistic -2.228169 0.2010 -3.670170 -2.963972 -2.621007 t-Statistic 0.112515 -2.228169 5.916721 0.888945 0.150608 Mean dependent var 0.120272 S.D. dependent var 26.16191 Akaike info criterion 19164.48 Schwarz criterion Prob.* -139.4624 Hannan-Quinn criter. 4.964739 Durbin-Watson stat 0.034078 Prob. 0.0341 0.3816 -2.520703 27.89301 9.430827 9.524240 9.460711 1.523559
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
Related questions
Question
Interpret the generated results at 5% level of significance.
Expert Solution
Step 1
From the first table, we see that the p-value of Augmented Dickey Fuller test is 0.2010 which is greater than 0.05 level of significance.
So we accent null hypothesis hence UR has a unit root.
Step by step
Solved in 2 steps
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