Why are the ADF results from matlab and eviews different?

1 view (last 30 days)
yvette-hyq
yvette-hyq on 2 Sep 2011
Answered: Joe on 21 Apr 2014
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.

Sign in to answer this question.

Answers (1)

Joe
Joe on 21 Apr 2014
Maybe rounding errors...
Joe

Categories

Find more on Hypothesis Tests in Help Center and File Exchange

Tags

Community Treasure Hunt

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

Start Hunting!