Can somebody help me with how I can determine what deterministic regressors(trend, drift and intercept) I shall include in the Dickey Fuller test. A Stata help file outlines four cases:
1 Random walk without drift α(Intercept)=0,θ(trend)=0 2 Random walk without drift α=0, 3 Random walk with drift θ=0 4 Random walk with drift or without drift No deterministic regressor
I have estimated all of them but how do I know which result to take. So far I cannot reject the Null for all of them except if a drift term is included.