What are the null and alternative hypotheses for this test

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A researcher wants to test the order of integration of some time series data. He decides to use the DF test. He estimates a regression of the form

and obtains the estimate = -0.02 with standard error = 0.31.

(a) What are the null and alternative hypotheses for this test?

(b) Given the data, and a critical value of -2.88, perform the test.

(d) Why is it not valid to compare the estimated test statistic with the corresponding critical value from a t-distribution, even though the test statistic takes the form of the usual t-ratio?

Reference no: EM131199096

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