In the output from summary(WTI ADF trend), you will see the
following in the end
Critical values for test statistics:
1pct 5pct 10pct
tau3 -3.99 -3.43 -3.13
phi2 6.22 4.75 4.07
phi3 8.43 6.49 5.47
The critical values in the row of “tau2” is for the null hypothesis ρ = 0 (hence unit root).
Those in the row of “phi2” is for the joint null ρ = β0 = 0 (unit root and no drift). Those
in the row of “phi3” is for the joint null ρ = β0 = δ = 0 (unit root, no drift and no trend).
Discuss whether you need to include constant(drift) and trend in the ADF test?
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