I did a ADF test to my data set to find unit root using STATA. I get t-test test statistic which is -2.363 from ADF. I think it is much lower than -1.96 so it can reject the null. But actually its critical value is much higher that normal value like -1.96. What happen in this case? Why critical value is much higher that -1.96??
This data is time series and I check ADF 1 lag with trend. Data set is below. 'sejong' is the region and 'price' means house price. I just wonder it has fewer data, only has 24 data sets, so its critical value is higher than I expected. But I still unclear why critical value can be high when its data is smaller or other reason..