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Following model was estimated on 200 observations. How to specify the level of integration of $X_t?$ In brackets there are standard errors and p-value of Breusch-Godfrey test is also shown.

$X_t=0,02+\underset{(0,06)}{0,94}X_{t-1}+\varepsilon_t\qquad pv(BG)=0,765$

$\Delta X_t=0,03-\underset{(0,71)}{0,52}X_{t-1}+\varepsilon_t\qquad pv(BG)=0,878$

$\Delta X_t=0,03-\underset{(0,05)}{0,51}X_{t-1}-\underset{(0,09)}{0,02}\Delta X_{t-1}+\varepsilon_t\qquad pv(BG)=0,775$

$\Delta \Delta X_t=0,02-\underset{(0,05)}{0,62} \Delta X_{t-1}+\varepsilon_t\qquad pv(BG)=0,852$

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closed as off-topic by Ric, emcor, Bob Jansen Aug 26 '15 at 12:55

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  • $\begingroup$ I'm voting to close this question as off-topic because it belongs to stats.stackexchange.com $\endgroup$ – Ric Aug 26 '15 at 10:49
  • $\begingroup$ I'm voting to close this question as off-topic because it's on stats and fits better there. $\endgroup$ – Bob Jansen Aug 26 '15 at 12:55