Dickey Fuller Test Using SPSS A Dickey-Fuller test is an econometric test used for testing whether a certain kind

of time series data has an autoregressive unit root (Definition of Dickey Fuller test n.d.). The test is named after the inventors, statisticians D. A. Dickey and W. A. Fuller, who developed the test in 1979. There are three Dickey Fuller test equations; test equations 1, 2, 3. Test equation 1 is used when the series has no constant and trend. The formula is shown below:

Test equation 2 is used where there is a constant in the series but with no trend. The formula is shown below:

Test equation 3 is used when the series had both a constant and a trend. The formula is shown below:

When carrying out the Dickey Fuller test, one has to follow a step by step procedure. First and foremost, one should plot the time series of the original observation on a variable. If the series fluctuates around a sample average of 0, use test equation 1. If the result of the series is found to be fluctuating around a sample average, which is non zero, use test equation 2. Lastly, if the series appears to be fluctuating around a linear trend, use test equation 3. It should be noted that if desired results are to be achieved, then care should be taken when using the three test equations.

Dickey Fuller Test equations adapted from Dickey-Fuller Unit Root Test:

http://staffweb.hkbu.edu.hk/billhung/econ3600/application/app01/app01.html

1 KHALIF JAMAL MOHAMUD

SPSS-Statistical Package for the Social Sciences is a data management and analysis software produced by IBM SPSS, Inc. in Chicago, Illinois. The software offers descriptive statistics such as plots, charts and lists. It also has sophisticated procedures like analysis of variance, factor analysis etc. The software is commonly used by researchers of different fields and professions (SPSS Overview, n.d.). There are a number of statistical applications that provides users with the test equations when carrying out time series analysis. However, with the SPSS, there is still no module that is set up to enable the Dickey Fuller test to be carried out. The process of upgrading the software is ongoing and thus the latest versions of SPSS will have the function of running the Dickey Fuller test.

REFERENCES Robert A.Y Introduction to Time Series Analysis and Forecasting: With applications of SAS and SPSS, n.d., viewed on 30th April 2013, Google Books SPSS Overview, n.d., viewed on 29th April 2013, < http://www.utexas.edu/its/products/spss/ Definition of Dickey Fuller test n.d., viewed on 29th April 2013, <http:// http://economics.about.com/cs/economicsglossary/g/dickey_fuller.htm

2 KHALIF JAMAL MOHAMUD