DICKY FULLER TEST
Time Profit Δprofit
1 50 SUMMARY OUTPUT
2 120.88 70.88
3 -25.43 -146.31 Regression Statistics
4 31.72 57.15 Multiple R 0.372208 H0: δ = 0 (equivalent to ρ =1)
5 94.79 63.07 R Square 0.138539 H1: δ <0 (equivalent to ρ = 1)
6 61.06 -33.73 Adjusted R 0.097517
7 87.51 26.45 Standard E 96.72428
8 -65.88 -153.39 Observatio 23
9 30.4 96.28
10 65.49 35.09 ANOVA
11 15.13 -50.36 df SS MS F Significance F
12 8.23 -6.9 Regression 1 31595.59 31595.59 3.377189 0.0802958311
13 -18.71 -26.94 Residual 21 196467.3 9355.587
14 29.79 48.5 Total 22 228062.9
15 97 67.21
16 42.43 -54.57 Coefficients
Standard Error t Stat P-value Lower 95%
17 258.7 216.27 Intercept -14.09382 20.18395 -0.698269 0.49267 -56.06863978
18 6.83 -251.87 50 -0.33422 0.181867 -1.837713 0.080296 -0.712433578
19 45.63 38.8
Figure highlighted in yellow is not t-statistics but τ (tau) statis
Fuller Table, and find that the tau critical value for a type 1 te
Since τcrit = -2.986 < – 1.91613 = τ, we cannot reject the null h
20 -56.41 -102.04 stationary.
21 -101.23 -44.82
22 -143.21 -41.98
23 -286.78 -143.57
24 -197.79 88.99 Please note
25 -236.75 -38.96 t--STATISTICS = t- value less than critical value leads to accept of null hy
tau statistics = tau value less than critical value leads to rejection of null
Profit
valent to ρ =1)
valent to ρ = 1) 300
200
100
0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24
-100
-200
-300
Upper 95%Lower 95.0%
Upper 95.0% -400
27.881 -56.06864 27.881
0.043994 -0.712434 0.043994
-statistics but τ (tau) [Link] now look up in the Dickey-
ritical value for a type 1 test is -2.986 when n = 25 and α = .05.
we cannot reject the null hypothesis that the time series is not
e leads to accept of null hypothesis (p<0.05, reject null)
e leads to rejection of null hypothesis (p <0.05, reject null)
Δprofit
300
200
100
0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 2
-100
-200
-300
-100
-200
-300
15 16 17 18 19 20 21 22 23 24 25
fit
12 13 14 15 16 17 18 19 20 21 22 23 24
Time Profit Δprofit
1 50
2 120.88 70.88
3 -25.43 -146.31 Chart Title
4 31.72 57.15 300
5 94.79 63.07
6 61.06 -33.73 200
7 87.51 26.45
100
8 -65.88 -153.39
9 30.4 96.28 0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21
10 65.49 35.09
11 15.13 -50.36 -100
12 8.23 -6.9 -200
13 -18.71 -26.94
14 29.79 48.5 -300
15 97 67.21
-400
16 42.43 -54.57
17 258.7 216.27
18 6.83 -251.87
19 45.63 38.8
20 -56.41 -102.04
21 -101.23 -44.82
22 -143.21 -41.98
23 -286.78 -143.57
24 -197.79 88.99
25 -236.75 -38.96
Chart Title
10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27
Time Profit Δprofit
1 50 SUMMARY OUTPUT
2 120.88 70.88
3 -25.43 -146.31 Regression Statistics
4 31.72 57.15 Multiple R 0.49674
5 94.79 63.07 R Square 0.24675
6 61.06 -33.73 Adjusted R Sq 0.171425
7 87.51 26.45 Standard Erro 92.67911
8 -65.88 -153.39 Observations 23
9 30.4 96.28
10 65.49 35.09 ANOVA
11 15.13 -50.36 df SS MS F Significance F
12 8.23 -6.9 Regression 2 56274.58 28137.29 3.275809 0.058802
13 -18.71 -26.94 Residual 20 171788.3 8589.417
14 29.79 48.5 Total 22 228062.9
15 97 67.21
16 42.43 -54.57 Coefficients
Standard Error t Stat P-value Lower 95%
17 258.7 216.27 Intercept 62.32967 49.05922 1.270499 0.218488 -40.00606
18 6.83 -251.87 1 -5.817132 3.43184 -1.695048 0.105581 -12.97583
19 45.63 38.8 50 -0.518122 0.205275 -2.524036 0.02017 -0.946318
20 -56.41 -102.04
21 -101.23 -44.82
22 -143.21 -41.98 Figure highlighted in yellow is not t-statistics but τ (tau) [Link] n
23 -286.78 -143.57 Table, and find that the tau critical value for a type 1 test is -2.986 whe
3.589< – 2.52404 = τ, we cannot reject the null hypothesis that the
24 -197.79 88.99
25 -236.75 -38.96
Significance F
Upper 95%Lower 95.0%
Upper 95.0%
164.6654 -40.00606 164.6654
1.341561 -12.97583 1.341561
-0.089925 -0.946318 -0.089925
tistics but τ (tau) [Link] now look up in the Dickey-Fuller
for a type 1 test is -2.986 when n = 25 and α = .05. Since τcrit = -
ct the null hypothesis that the time series is not stationary.