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Unit Root Test in EVIEWS(2)

Unit Root Test in EVIEWS(2) - Unit Root Test in EVIEWS...

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Unit Root Test in EVIEWS Tapas Mishra Southampton University Dickey-Fuller Unit Root Test (Stationary Test) First, download the excel formatted data file named " US_cpi_data " from the " Sample Data " of Econ3600 homepage. Second, open the EVIEWS program and click " file ", " new ", and " workfile ", then the " Workfile Range " window will be appeared as following. Choose to highlight " Monthly " (because the series is a monthly sample data) and types the dates for " Start date " and " End date " in the dialogue box to specific the starting and ending of the sample. After click " OK " and get this "Workfile" window. 1
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Next, click the " Process ", " Import ", " Read Text-Lotus-Excel ", then get the following output. And you need to type the names of series and the necessary information of the upper-left cell in the dialogue boxes as follow. Notice the "B9" in the dialogue box represents the sample data starting at the upper-left cell of "B9" in the Excel file. Then click "OK" again and get this output in "workfile" window: 2
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Now, you are ready to carry out the Dickey-Fuller (DF) Unit Root Test for any type of time series data. Pick one sample series among the other nine series in this "Workfile", simply choose " cpi " to test whether it is a stationary series or not. (Students are encouraged to test the other eight time series on their own.) Let cpi t = Y t , the DF Unit Root Test are based on the following three regression forms: I. Without Constant and Trend 2. With Constant 3. With Constant and Trend The hypothesis is: Decision rule: If t* > ADF crtitical value, ==> not reject null hypothesis, i.e., unit root exists.
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