Adf test, Macroeconomics

Assignment Help:

Table Summary of results from the ADF test

Test Number

Oil

GDP

Interest rate

Inflation

Unemployment

Exchange Rate

1

1.169921

-3.4819***

-2.35867**

-2.23904**

-0.98162

-1.05852

2

0.16054

-6.0342***

-1.7243***

-3.5581***

-2.15841

-2.40748

3

-3.72037*

-6.0839***

-2.795304

-3.62005**

-1.70094

-2.67032

***/**/* - Denotes that null hypothesis can be rejected at the 1%/5%/10% significance levels respectively.Figures condensed from Appendix tables 1A -> 1F.

From Table it can be seen that the variables; Oil, GDP, interest rate and inflation are all stationary and can reject the null hypothesis at the normal significance levels. The critical values for this test are those derived by James Mackinnon (1996). Therefore they do not contain unit roots. However for the remaining two variables -exchange rates and unemployment - the null hypothesis cannot be rejected at the normal significance levels.Therefore it is confirmed that these variables are not stationary and do contain a unit root. According to Kennedy (2001) this means that the regressions for these variables will be spurious meaning that these regressions are likely to show a very high  value, indicating a strong goodness of fit. Also it might show t-statistics which deem that the coefficients are significant. However, these results may not have any economic significance at all.


Related Discussions:- Adf test

Country club bills, Suppose the country club bills based on a sample of 4 m...

Suppose the country club bills based on a sample of 4 members are: 358, 958, 665, 846. What is the standard deviation for this sample of bills? (please round your answer to 1 decim

MONOPOLY, WHAT ARE THE SOURCES OF MONOPOLY

WHAT ARE THE SOURCES OF MONOPOLY

Calculate the demand and probability, Sally's Silk Screning produces specia...

Sally's Silk Screning produces specialty T-shirts that are primarily sold at special events. She is trying to decide how many to produce for an upcoming event. During the event its

Decrease the nominal deficit, Which of the following will decrease the nomi...

Which of the following will decrease the nominal deficit? A. An increase in taxes. B. An increase in the debt. C. An increase in government expenditures. D. An increase in interest

Peace time goods and war time goods, Draw the PPC model of peace time goods...

Draw the PPC model of peace time goods and war time goods and describe its characteristics. Label point A as being more toward peace time goods than war time goods and show graphic

Money, how to calculate the ultimate change in deposits and credit?

how to calculate the ultimate change in deposits and credit?

Economic-social-cultural and political-legal factors, For each of the host ...

For each of the host countries you have selected for examination (PEST-C analysis), conduct a preliminary assessment of the geographic, economic, social-cultural, and political-leg

Aggregate supply - long run equilibrium:graphical analysis, Long Run Equili...

Long Run Equilibrium:Graphical Analysis In the long run the natural rate of output is the level of output to which the economy will tend to adjust in the long run. This indicat

Define the consumer prices index, Define the Consumer Prices Index Ever...

Define the Consumer Prices Index Every month, the Office for National Statistics (ONS) collects information on about 120,000 prices for a 'shopping basket' of about 650 goods a

Economic data required for the assignment, Must use current data! I do not ...

Must use current data! I do not need a response until later this week, so take your time. In addition, I will be using your information as reference only. I will not plagiarize. Th

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd