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Different results in the unit root test. Why?

  1. Oct 24, 2007 #1
    Situation: I had tired a 1000-data generated by random error(i.i.d.), then I sub it into different unit root tests. I got different results among the tests. The following are the test statistics I got:

    For R project:
    adf.test @ tseries ~ -10.2214 (lag = 9)
    ur.df @ urca ~ -21.8978
    ur.sp @ urca ~ -27.68
    pp.test @ tseries ~ -972.3343 (truncation lag =7)
    ur.pp @ urca ~ -973.2409
    ur.kpss @ urca ~ 0.1867
    kpss.test @ tseries ~ 0.1867 (truncation lag =7)

    For MATLAB:
    (adf test) ~ -0.43979

    Questions:
    1. Why there are different test statistics? Even in tests under same test name, say Phillips-perron test (pp.test & ur.pp), they have different test statistics.
    2. Don't the Phillips-perron test based on the Dickey-Fuller distribution table? How the value being so negative (-9xx)?
    3. What is truncation lag? Is it the same with lag terms?
     
  2. jcsd
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