The stationarity tag has no wiki summary.
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Test of Order of Chain & Test of Stationarity in First Order Markov Chains
I have a first order Markov chain I am testing for stationarity. I have the transition probability matrices for around 10 periods (t). The number of states (m) in any possible period is 19.
I was ...
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13 views
Can time series data have both unit root and structural break?
My data rejects unit root, but shows structural break, is this possible?
Thank you!
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14 views
adf.test returning p-value > 0.99 on series bounded by -1 and 1
I have a pair of time series that I differenced and now take on values {-1, -0.5, 0, 0.5, 1}. My goal is to test them for Granger causality and discover any lead/lag relationships. Since this ...
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1answer
54 views
Fitting GEV to non-stationary time series of extremes (general stationarity question?)
I'm fitting the generalized extreme value distribution (GEV) to a series of annual maxima of variable $X$. $X$ exhibits a linear trend.
When I fit the GEV to $X$, I think I have the choice to
Use ...
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41 views
STATA - Procedure for properly estimating an AR(p)
I'm trying to estimate an autoregressive process AR(p).
Following the literature:
1) I checked if the series is stationary or not running the augmented Dickey-Fuller test (as I expected, the ...
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1answer
76 views
KPSS test - output interpretation in stata
I did KPSS test for some variables in stata to check for stationarity; I want to interpret the the stata outputs, but I don't know how to do that. For instance, in the following case:
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62 views
Confusion with Augmented Dickey Fuller test
I am working on the data set electricity available in R package tsa. My aim is to find out if an ...
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2answers
53 views
Are all Levy processes memoryless?
We know that the two canonical Levy processes, namely the Wiener process and Poisson process, are both memoryless, so I wonder if there are any Levy process that is not memoryless. Specifically, are ...
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18 views
Consequences of non-stationarity on panel regression estimates
What are the consequences of including a non-stationary variable on a panel regression's slope estimates and their standard error estimates?
I am thinking of both Pooled OLS and Entity Fixed Effects. ...
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1answer
39 views
Tests for spatial stationarity (homogeneity)
There are many models for spatial point patterns and spatial marked point patterns that assume spatial homogeneity or stationarity.
i) Is there a statistical test for determining this, where the ...
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19 views
dickey-fuller and regressions
I have searched the internet on this, but I could not find any book/lecture/... that relates the ADF test and OLS regressions in practice.
Here are my questions:
1) it seems to me unclear what model ...
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27 views
ols regression on stationary series
I am trying to regress (OLS) some time series on stock returns. I am not interested in regressing the returns of those time series on my stock returns, but I want to include information about the ...
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2answers
132 views
'Stationarity requirement' why?
I am working on measuring variability of geotechnical data. I see in the literature it is mentioned that, non-stationary data should be first converted into stationary data (for example by trend ...
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66 views
How to model a Time Series which has different nonstationary segments by ARIMA?
I had a monthly river temperature (408 values, separated 360 for modeling). Then I deseasonalized and transformed it to a normal time series by a plotting position technique. Now I need to fit an ARMA ...
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2answers
73 views
Help with understanding stationarity
I'm new in time series and the concept of stationarity has been bugging me for a while :( I know the definition of stationarity but it is not 100% clear for me why for example we have to difference ...
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1answer
60 views
Trying to fit a model after detrending
I have data for Hydrogen Sulfide Series, see here http://www.wikiupload.com/Y4WAZJ4Z0IMTK7V
I applied a Box-Cox Transformation with $\lambda =1/3$ to try to stabilize the data.
I plotted a few sample ...
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1answer
79 views
What are the assumptions for checking the stationarity of a time series?
I am checking stationarity or non-stationarity of a time series with R and I am using adf.test and kpss.test in ...
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109 views
Selecting number of lags in ADF unit root test
I'm working on with a time series I want to check for unit root, it's a exchange rate index. I'm do the ADF with different lags, with an intercept and not with a trend, and it yields the results,
...
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1answer
33 views
Stationary time-series and N-order stationarity
Suppose I have a stationary time series, does this imply that the series is also N-order stationary?
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1answer
59 views
Error Correction Model & Trend Stationarity
I'm familiar with a traditional Error Correction Model (ECM) of the form
$$Y_{t}-Y_{t-1}=\Pi Y_{t-1}+\sum_{i=1}^{p-1}\Gamma_{i}\left(Y_{t-i}-Y_{t-i-1}\right)+\varepsilon_{t}
$$
where ...
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22 views
Dealing with Non stationarity in classification models
I have a timeseries dataset with 100 samples and 10,000 features. These features are used to classify a certain response.
On performing ...
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38 views
Ergodicity, mixing and stationarity
When considering sequences, I know that mixing and stationarity implies ergodicity. This is a stationary mixing process is ergodic. But, if I have a stationary and non-ergodic sequence, can I conclude ...
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18 views
Does a stationary VAR imply component time series are stationary?
What can be said about the relationship between a stationary VAR and its components?
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1answer
96 views
Stationary matrix given a transition matrix
I am given the following transition matrix
$$P= \pmatrix{ 1-\alpha & \alpha \\ \beta & 1-\beta}, \ \alpha,\beta \in (0,1)$$
with the states $S=\{1,2\}$.
I want to determine the stationary ...
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1answer
240 views
Unit root test confusion
For my time-series regression, I am regressing the difference in variable x on a difference in variable y. Before proceeding, I want to check for stationarity of my variables. Regressing d.x ...
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38 views
Panel unit root tests
I am working on Panel unit root results. All the variables are stationary except one variable at first difference in one test (namely LLC), the rest of the tests (i.e., IPS, FisherADF and Fischer PP), ...
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2answers
197 views
Treating non-stationarity of time series in seasonal adjusted data with R
I'm currently trying to use a variable x (and others) to explain a dependent variable y in a distributed lag model (with the long term goal of predicting variable y). The plot of variable x shows an ...
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1answer
130 views
Conceptual distinction between heteroscedasticity and non-stationarity
I'm having trouble distinguishing between the concepts of scedasticity and stationarity. As I understand them, heteroscedasticity is differing variabilities in sub-populations and non-stationarity is ...
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1answer
107 views
Timeseries stationarity
If I difference a time series and take out trend and seasonality ... does it mean we are left with only irregularity on which we plot the acf and pacf to arrive at the MA and AR order?
Does 1st ...
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47 views
Is stationarity a concern in cross sectional models?
If a cross-sectional model that has non-stationary variables is re-estimated at each use (quarterly), is non-stationarity still an issue?
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61 views
What's a stationary VAR?
What is a stationary VAR (vector autoregression)?
Can a VAR with non-stationary variables be stationary?
How do you test whether a VAR is stationary or non-stationary? (Example in ...
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1answer
127 views
Johansen's $\Pi$ is full rank except variables are non-stationary
I have two variables. They're both $I(1)$ even when I fit constant and trend terms into the ADF test. The $p$-values for the stationarity tests are around 0.5 so it's not a marginal case.
However, ...
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141 views
Stationarity tests for time series
I am currently working on time series modeling, especially on stationarity tests. For this purpose, I am extensively using Pfaff's book "Analysis of integrated and cointegrated time series with R" and ...
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59 views
How to test for integrated order 2/non-stationary I(2)?
How do I apply the Augmented Dickey-Fuller (or alternative) test to determine if a variable is $I(2)$ instead of $I(1)$? Is there functionality for this in R ...
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112 views
Difference between unrestricted VECM and restricted VECM?
What's the difference between an unrestricted and a restricted VECM?
I believe a hint lies within the cajorls()[1] function of R language's ...
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1answer
98 views
Putting stationary variables through Johansen procedure
Is it okay to feed $I(0)$ variables into the Johansen procedure? I've read three sources that seem to state that this is not what you're supposed to do. However, whenever I've done this, I notice that ...
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106 views
What are the conditions where we can regress non-stationary variables?
Obviously there are certain spots where it's okay to include a non-stationary predictor variable in a linear regression model. For example, a dummy variable interacted with a stationary variable must ...
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74 views
Dummy interaction variables are always non-stationary?
I want to know why we can include dummy interaction terms into time series models if they're always non-stationary?
For example let $X_t$ be $I(0)$, $X_t \sim N(\mu,\sigma^2)$ and $D_t \in \{0,1\}$. ...
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2answers
131 views
Identifying periods of non random behavior in time series
Im looking for some pointers on which topics I should be looking into in order to identify periods (of non fixed length) which deviate from randomness. I have a feeling hypothesis testing may be what ...
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Unit root tests and stationarity
Two common methods of testing whether a time series is stationary are the KPSS and ADF tests. If my understanding is correct, these tests essentially work by measuring the residuals of fitting the ...
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2answers
1k views
Which Dickey-Fuller test should I apply to a time series with an underlying model that includes an intercept/drift term and a linear time trend?
Short version:
I have a time series of climate data that I'm testing for stationarity. Based on previous research, I expect the model underlying (or "generating", so to speak) the data to have an ...
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446 views
Can I detrend and difference to make a series stationary?
I have a dataset that is clearly increasing as time goes on (exchange rate of a currency, monthly data over 20 years), my question is: Can I detrend the data and then difference it also to make it ...
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109 views
White noise for level, log and log differences data sets
I am using eviews 7 and I have 3 data sets for DAX stock market index: level (dax), log (ldax), and log differences (dldax). I need to check whether the error terms of these data sets are white noise ...
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1answer
123 views
What's the best model to analyze inflation seasonal adjustment with R?
Please, put in R the following structure:
...
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2answers
160 views
Find a general normal stationary process
I am wondering how to find the general normal stationary process satisfying
$X_{n+2} + X_{n} = 0$. Any help would be much appreciated, although I am relatively new to this space so some details how to ...
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46 views
Transformation optimizing stationarity of the residual of a regression
I am trying to define an objective function or a method to find the transformation and coefficients optimizing the stationarity of regression's residuals.
For instance, if I want to regress $X_1$ vs ...
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2answers
517 views
Stationary ARMA model as infinite AR or MA process
How can a stationary, invertible ARMA(1,1) process be represented as
either an infinite order AR or infinite order MA process?
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1answer
88 views
What is a stationary Gaussian field?
I know what a Gaussian field is. However, I am not quite sure what is meant by stationary. I have seen this stationary thing at lots of places like stationary autoregressive processes etc but don't ...
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3answers
365 views
Is it necessary to detrend and decycle time-series data when using machine learning methods?
For example:
I want to forecast future values of a time-series based on previous values of multiple time-series' using a ANN and/or SVM. Inputs will be lagged values from each time series, and the ...
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2answers
838 views
what's the difference between stationary test and unit root test?
Could anyone tell me what's the difference of KPSS test and ADF test? Are they talking about the same thing? Or we need to use them in different situations?
