Tagged Questions
0
votes
0answers
44 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 ...
0
votes
1answer
91 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:
...
1
vote
1answer
41 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 ...
2
votes
0answers
60 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 ...
2
votes
2answers
135 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 ...
1
vote
0answers
69 views
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 ...
3
votes
3answers
624 views
Selecting regression type for Dickey-Fuller test
I have a time series and I want to check whether it has a unit root or not. I want to use the Dickey-Fuller test. How should I choose the regression equation from the three options: regression without ...
0
votes
1answer
388 views
Unit root tests, stationarity, and the null hypothesis
I was reading about unit root test, when I started to get slightly confused about the setting for the Null hypothesis vs Alternative hypothesis, and so I thought of asking the experts opinion.
In the ...
4
votes
1answer
174 views
What is explosive variable?
I'm trying to understand the following claim:
if the $t$-statistic is greater than
zero, it indicates that the variable
is explosive... but does that mean it
has unit root?
In the context ...
6
votes
1answer
174 views
Location test under a bounded non-stationarity?
Suppose I draw $n$ observations $X_1,X_2,\ldots,X_n$ independently from a distribution where $X_i \sim \mathcal{N}(\mu_i,\sigma^2)$, where the mean is assumed to be Lipschitz: $\left| \mu_i - ...
