# Tagged Questions

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### ADF Test on Volatile Series. Expected results?

I tried performing the Augmented Dickey-Fuller Test on SP500 data from MASS library and got the following results: ...
148 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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### 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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### 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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### 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 ...
168 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 ...
815 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 ...
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### 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 ...
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 ...
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 - ...