AUGMENTED

DICKEY-FULLER TEST
BUSHRA SANIRA ASIF
ROLL NO: 03
1. GDP (constant 2005 US$)
Null Hypothesis: D (GDP) has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (uto!ati" #ased on $%C, &'LG())
t*
$tatisti" Pro#+,
ug!ented Di"-ey*.uller test statisti"
*
/+0)122/ 0+03/3
Test "riti"al 4alues: 56 le4el
*
3+25)527
06 le4el
*
/+0//08/
506 le4el
*
/+5)8/52
,&a"9innon (5))7) one*sided p*4alues+
INTERPRETATION
%n this :e re;e"t null hypothesis and a""ept the alternate hypothesis i+e+ GDP does not has a
unit root and the data is stationary+ The data is stationary at 5
st
di<<eren"e = trend and
inter"ept, #e"ause at 5
st
di<<eren"e the Pro#a#ility is less than 06 signi<i"an"e le4el (i+e+3+/3
6> 06)+The data is signi<i"ant #e"ause "al"ulated 4alue o< t*statisti"s is greater than
ta#ulated 4alue (i+e+ /+0?2)+The "oe<<i"ient "al"ulated (*0+0355/)) is negati4e so the data is
4alid+
5
AUGMENTED DICKEY-FULLER TEST
BUSHRA SANIRA ASIF
ROLL NO: 03
2. Consumer price index (2005 = 100)
Null Hypothesis: D(CP%,2) has a unit root
Exogenous: Constant
Lag Length: 0 (uto!ati" #ased on $%C, &'LG())
t*
$tatisti" Pro#+,
ug!ented Di"-ey*.uller test statisti"
*
1+80322) 0+0000
Test "riti"al 4alues: 56 le4el
*
/+72502/
06 le4el
*
2+)3/321
506 le4el
*
2+75027/
,&a"9innon (5))7) one*sided p*4alues+
INTERPRETATION
%n this :e re;e"t null hypothesis it !eans that :e a""ept the alternate hypothesis i+e+ CP% does not
has a unit root and the data is stationary+ The data is stationary at 2
nd
di<<eren"e = inter"ept,
#e"ause at 2
nd
di<<eren"e the Pro#a#ility is less than 06 signi<i"an"e le4el (i+e+0 6> 06)+The data
is signi<i"ant #e"ause "al"ulated 4alue o< t*statisti"s is greater than ta#ulated 4alue (i+e+
2+)?2)+The "oe<<i"ient "al"ulated (*5+21)85)) is negati4e so the data is 4alid+
2
AUGMENTED DICKEY-FULLER TEST
BUSHRA SANIRA ASIF
ROLL NO: 03
3. !!icia" exc#an$e rate (%CU per US$& period a'era$e)
Null Hypothesis: D(E@,2) has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 7 (uto!ati" #ased on $%C, &'LG())
t*
$tatisti" Pro#+,
ug!ented Di"-ey*.uller test statisti"
*
7+71805) 0+0000
Test "riti"al 4alues: 56 le4el
*
3+283080
06 le4el
*
/+072882
506 le4el
*
/+250271
,&a"9innon (5))7) one*sided p*4alues+
INTERPRETATION
Ae a""ept the alternate hypothesis i+e+ does not ha4e a unit root and the data is stationary+ The
data is stationary at 2
nd
di<<eren"e = trend and inter"ept, #e"ause at 2
nd
di<<eren"e the
Pro#a#ility is less than 06 signi<i"an"e le4el (i+e+0 6> 06)+The data is signi<i"ant #e"ause
"al"ulated 4alue o< t*statisti"s is greater than ta#ulated 4alue (i+e+ /+0?2)+The "oe<<i"ient
"al"ulated (*0+530270) is negati4e so the data is 4alid+
/