I have a time series and I want to check whether it has a unit root or not. I want to use the Dickey-Fuller test. How should I choose the regression equation from the three options: regression without constant and trend, with constant (drift) and with constant and trend?
Is there a procedure that I should follow to select the regression? On what criteria is the choce of regression is based?
If the errors of the chosen regression are correlated then should I run the augmentd DF test with the same regression chosen in the first step?