Hello all,
I'm using AIC and BIC to find the appropriate lag to be used in the ADF test. The approach I used was to manually write the regression equation corresponding to the dicky fuller equation, and then use the command estat ic. However, the issue I faced was when I used trend in the ADF test. The coefficient of the constant term is different in the adf test and the regression table which I found by manually writing the regression equation. Below is the code and also the output. How can I resolve this issue?
I'm using AIC and BIC to find the appropriate lag to be used in the ADF test. The approach I used was to manually write the regression equation corresponding to the dicky fuller equation, and then use the command estat ic. However, the issue I faced was when I used trend in the ADF test. The coefficient of the constant term is different in the adf test and the regression table which I found by manually writing the regression equation. Below is the code and also the output. How can I resolve this issue?
