Research Article
Sensitivity Analysis of Stationarity Tests’ Outcome to Time Series Facets and Test Parameters
Table 4
Impact of drift and trend component consideration and time series facets on test results and critical values of PP test.
| Model equation (for PP) | 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 | −2.1086 | −1.9411 | −1.5034 | −1.9411 | −2.1505 | −1.9411 | −1.5446 | −1.9411 | With only drift component | −7.6076 | −2.8680 | −6.0787 | −2.8680 | −13.7298 | −7.5627 | −6.1654 | −2.8680 | With both drift and trend components | −7.6002 | −3.4193 | −7.4642 | −3.4193 | −13.7848 | −7.5546 | −7.4239 | −3.4193 |
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