Sensitivity Analysis of Stationarity Tests’ Outcome to Time Series Facets and Test Parameters

Table 2

Impact of drift and trend component consideration and time series facets on test results and critical values of ADF test.

Model equation (for ADF)	d1		d2		d3		d4
	Test result	Critical value	Test result	Critical value	Test result	Critical value	Test result	Critical value
Without drift and trend components	−0.6790	−1.9412	−0.0399	−1.9412	−0.7335	−1.9412	−0.0200	−1.9412
With only drift component	−16.7321	−2.8683	−2.6612	−2.8683	−13.7298	−2.8683	−2.7889	−2.8683
With both drift and trend components	−16.7263	−3.4199	−10.6335	−3.4199	−13.7848	−3.4199	−9.8550	−3.4199