How can Dickey fuller test give -ve value for t-stat?

machine_learning

#1

I have been implementing dickey fuller test after gaining an understanding of its procedure… The relevant equations are

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I have obtained the value for t-stat as +ve and hence when comparing with the table for alpha= 0.05 the result shows it is not stationary. I am confident that my data is stationary because on plotting the data it’s stationary.

What I dont understand is how can the t-stat value ever be negative when numtr and denmtr are positive. The theta value or p_hat is positive(by OLS estimation) and SE as it has squares in the equation will also yield a +ve value.

My assumption:

Can it be because, rooting in SE gives -ve value(as square of a number, both +ve and -ve is the same). Or my theta value has to be -ve but can that be?

Any help on this great thanx.


#2

Try to read this and see if this helps.

https://stats.stackexchange.com/questions/62545/connection-of-t-statistic-and-p-value-in-augmented-dickey-fuller-test

And this is a good read to understand how to campare t stat with Tau critical value.

http://www.real-statistics.com/time-series-analysis/stochastic-processes/dickey-fuller-test/

Also a good way to understand why the values are negative. 1 tailed t test stat.