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t = +t + yt + y 0 1 1
j t j y
j t j +t y
Use
H 0 : 0 1 , , H1 : 0 1 , ,
to test
v =
0
1
0 0
to test
, , v = 0,0 0, 0
,0,0 , 0, 0
Reject
test =0 using the t-stat. from step 1 using
Accept
Reject
Reject
Accept
Unit Root +Trend
No Unit Root Normal Test procedure to determine the presence of Time trend or Drift
Reject
Accept
Random Walk + Drift
1
Use