Augmented Dickey Fuller tests

[zaidy]

I just want to say... thank you so so much for your my professor would talk for 3 hours and not be explain what you layout beautifully crystal clear in 5
thank you so much for the effort.

[yourdeadmother]

Ben, I think you should make a video about what exactly a unit root means. I am taking an undergraduate course in ecnoometrics and so many of my coursemates including me, wish there was some really nice and high level explanation of it.

[jamesheaton]

such a useful video. trying to teach myself this for my thesis and this saved me literally hours, maybe even days, of reading journals, thanks.

[SpartacanUsuals]

Hi, thanks for your comment. A process is stationary if delta is less than zero. If delta is equal to zero, this is indicative of a unit root (non-stationarity). Hope that helps! Thanks, Ben

[SpartacanUsuals]

Hi, thanks for your message. My apologies for the late reply - I have been quite busy over the past week. I would recommend you try the free software package Gretl - if you have any specific questions then please feel free to send me a message, and I will endeavour to reply. Thanks, Ben

[elghark]

Hi Ben, I'm watching both videos (Unit root and ADF Test) again and again but I really miss the very last point: how to compare the T-statistic of regression over a Dickey Fuller Test in practice. Do you think you could make a video using an Excel file? I think it would help me dissipate my last doubts about the Pairs Trading stationary assumptions. Thanks

[isthereanyone]

hey ben, I am not sure whether you are going to check this comment,

firstly, the videos are really informative and helpful comparing to all other videos I've ever watched.

here is my question.

if the series has a or two unit roots, does that mean the series is non-stationary?

thanks a lot.

[paquette]

Hi Ben, when you try to determine the number of \beta_i\Delta\y_{t-i} to include in the regression, shouldn't you test from a general specification to a specific one? Otherwise the estimate of \beta_i don't converge because there's a omited variable bias if too few lags are included and your t-test or F-test are invalid?

[franziskakatharina]

I have a question regarding the computation of the test: I include the constant by subtracting all y(i) with y(0) such that y(0) = 0 (is that correct?) and compute the delta as (sum of y(i)*y(i-1) / sum of y(i)^2) - 1 (is that correct?). How do I account for the error terms? Cheers!

[Pancakes]

Why is the trend stationary if delta = 0? And why is the alternative hypothesis that delta < 0 and not that delta is not equal to 0? Thank you!

[tiber]

Thank you for your video, is it not the case that the hypothese has to be H0: Ro = 1 and H1: Ro < 1 ???

[PaulJohn]

Amazing video as always, very clear and concise. Keep up the helpful work :-)

[Zils]

Great vid!
What is exactly the difference between AR(1) and AR(2). I am working with Eviews. Is it simply a lag increase from 1 to 2?
How should I type it in in Eviews? Simply change lag to 2, or ... c ...(-1) ...(-2)?

[NavaJane]

Thank you for your videos! They are really helplful!

[chrislam]

does it mean by producing the ADF could also decide how many lags that i should include in the model by looking into the significance of the sum of lag?

[Sui_Generis]

Cant you use AIC or BIC for using the lagged variables?

[bfindiy]

very clear explanation, thank you for sharing ^^

[ahmedbukhamseen]

Great presentation, thanks bro it was helpful!!! 

[matimoi]

Hello! Why do we add the lag of the delta term instead of the second lag of Yt?

[SuperReddevil]

Please can you make a video series on Panel Data Analysis...?