Why are the ADF results from matlab and eviews different?

4 ビュー (過去 30 日間)
yvette-hyq
yvette-hyq 2011 年 9 月 2 日
回答済み: Joe 2014 年 4 月 21 日
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.

サインインしてこの質問に回答する。

回答 (1 件)

Joe
Joe 2014 年 4 月 21 日
Maybe rounding errors...
Joe

カテゴリ

Help Center および File Exchange で Hypothesis Tests についてさらに検索

タグ

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by