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I performed the Dickey Fuller test and I got the following results:

Test statistic:      0.340;
1% critical value:  -3.709;
5% critical value:  -2.983;
10% critical value: -2.623;
MacKinnon approximate p-value for Z(t) = 0.9791.

I know it is a one-tailed (left) test, but can anyone confirm me that it's okay to get a positive value of the test statistic? In all the examples concerning the DF test I saw I found only negative values of the test statistic...

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  • $\begingroup$ What language/system/environment you were using? Could you copy the command you have run into the question? $\endgroup$
    – oszkar
    Jun 13, 2019 at 10:30
  • $\begingroup$ I am using Stata and the command I used is the following: dfuller price $\endgroup$
    – Serena
    Jun 13, 2019 at 10:34

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Confirmed. You can get a positive df test statistic. It will occur when the estimated beta coefficient of your regression of y on y lagged, is greater than one. In this case the df_stat = (beta-1)/se(beta) > 0, since both the numerator and denominator are positive.

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