The stationarity tag has no wiki summary.
8
votes
2answers
2k views
Does correlation assume stationarity of data?
Inter-market analysis is a method of modeling market behavior by means of finding relationships between different markets. Often times, a correlation is computed between two markets, say S&P 500 ...
4
votes
3answers
594 views
How to check if the volatility is stationary?
Please, take a look at the chart below.
As you can see the first period the volatility is high and the second is low.
How can I check if the volatility is stationary (homogeneous) during the ...
7
votes
2answers
459 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 ...
5
votes
2answers
863 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?
4
votes
1answer
365 views
Conditions for Central Limit Theorem for dependent sequences
Cumbersome technical assumptions (e.g., mixing properties) are used in the literature to prove Central Limit Theorems for dependent sequences. I sketched a proof that does not require any of these ...
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 ...
1
vote
3answers
961 views
Why is a deterministic trend process not stationary?
I am confused on why a simple trend process is not stationary. Consider the following process:
$Y_t = a + bt + \epsilon_t$
The variance is clearly constant. However, the mean $bt$ is dependent on ...
0
votes
1answer
99 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 ...
0
votes
1answer
2k views
How to interpret KPSS results?
I'm using R to calculate the KPSS to check the stationarity.
The library that I'm using is tseries and the function is kpss.test
I have done a simple test using cars (a default matrix on R). The ...
