Why are the ADF results from matlab and eviews different?
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The time series i'm testing is us import. Using Eviews7 with automatically selected lags 2 (no intercept,no trend), it is stationary with t-stats -2.531127 and pValue 0.0115.
Using Matlab, only when Lags = 7 it passes with t-stats -2.49402 and pValue 0.012922. [h,pValue,stat] = adftest(xtr.im_us,'Lags',1:8);
Can anyone tell me what was wrong please?
Many thanks.
回答 (1 件)
Joe
2014 年 4 月 21 日
0 投票
Maybe rounding errors...
Joe
カテゴリ
ヘルプ センター および File Exchange で Hypothesis Tests についてさらに検索
2011 年 9 月 2 日
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