Stata Tutorial: Basic Unit Root Test

Tutorial on how to use and interpret the Augmented Dickey-Fuller Unit Root test in Stata.

Link to Financial Econometrics Using Stata by Boffelli and Urga

Link to Financial Econometrics Textbook by Chris Brooks:

Link to the excellent Introduction to Econometrics Textbook by AH Studenmund:

Link to Jeffrey Wooldridge Introductory Econometrics Textbook:

[vb]

What if it is stationary at lower lag and not stationary at higher lag

[ghenyh]

thank you very much! you just helped me with my finals (and i would probably use this for my thesis as well). subscribed!

[namdevupadhyay]

Actually i get worried about in which situation i should select noconstant, with trend and with drift term during adf test

[chidiogombelede]

I am absolutely amazed at how someone can be so articulate in their explanation of this topic. You have helped me run my entire analysis for my MSc dissertation. THANK YOU! GOD BLESS YOU!

[johnanigwe]

Wonderful session through this tutorial. Thank you,

[nelsonsalazar]

Hello sir, could you please explain how to interpret the phillips perron test with Stata

[mahinurmimi]

Thank you sir, do you have any tutorial of conducting Phillip perron test in stata?

[fidanabdullaeva]

Thank you very much for the video! I would like to ask should we use the created variables (e.g., variables generated with first differences) after getting rid of unit roots in our main regressions? That part is confusing me.

[luckyluke]

Thanks for the video, good introduction!
How do you decide on how many days of lag you test to see whether value changes? You only test 1 and 2, is this enough compared to the 2500 observations in the data set? I've read about some "rule of thumb" somewhere else...

[varunimuthukutti]

Thank you so much.
how to do the second difference if its not yet stationary after the first ? what is the command?

[demo-fske]

I cannot duplicate the result in this video. When downloading freduse SP500, the number of observations is different. So as the result is different and fuller SP500, the command of dfuller, trend regress does not give the significant result. Please check again. Thank you Mike!

[merveoz]

Emeğinize sağlık hocam, teşekkürler! 👍

[mahinurmimi]

Sir, would you tell me the stata command for granger causality tests in ARDL
?

[gerzson]

Hi, Thanks for the video. I run Breusch-Pagan with
chi2(1) = 19.55
Prob > chi2 = 0.0000

and a White
chi2(14) = 322.87
Prob > chi2 = 0.0000

Should I reject the null hyp? So does my modell show heteroskedasticity?

[MAX-howg]

Dear Mike, thanks for teaching me in particular. Could you kindly help me how I can use covariate augmented
Dicker-Fuller in Stata. Thanks.

[dipenmodi]

How to do this in case of a Probit model? The command "predict resid, residuals" gives an error in case of a probit model. Thanks!

[volkanky]

I have a question please help me ; I have a export data but ı reach the trend stationary process, so can I use this data for VAR analysis? how can I transform the trend stationary process to sationary process

[yeshiwasewinetu]

It is actual very interesting presentation, may I ask you one question ! if yes How many lag difference is appropriate to under take unit root test, given the optimal lag length is 2 .

[mathieupotvin]

Great video, what happens when the variable you're trying to test on is a first-difference?

[carlossinapellidos]

thanks for the video. Just a question, if we get that we reject but we have included a trend in the test, then we should detrend the variable in order to be stationary no?. Also if we include the drift, what should we do?, thank you in advance