The notes report ADF statistics of −2.83 () for the full monthly sample, −2.27 for 2001–2019 and −2.16 for 2010–2026. (a) Why is the -statistic on not compared with Student- critical values? What goes wrong if it is? (b) What is the correct conclusion for each sample at 5% and 10%? (c) The analyst tried three samples and two frequencies. How should that change the reading? (d) Suppose instead the analyst estimated by OLS and ran ADF on . Which critical values apply and why?
M10 · Problem 13 ★★
Reading ADF output
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