Tagged Questions

0
votes
1answer
56 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 ...
0
votes
1answer
80 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: ...
2
votes
0answers
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 ...
0
votes
0answers
20 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 ...
1
vote
2answers
133 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 ...
1
vote
0answers
67 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 ...
2
votes
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 ...
0
votes
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 ...
3
votes
1answer
81 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 ...
0
votes
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?
0
votes
0answers
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 ...
1
vote
1answer
243 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 ...
0
votes
0answers
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), ...
2
votes
2answers
204 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 ...
5
votes
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 ...
1
vote
1answer
108 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 ...
1
vote
0answers
62 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 ...
0
votes
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, ...
4
votes
0answers
143 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 ...
2
votes
0answers
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 ...
0
votes
0answers
114 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 ...
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
0answers
75 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 $D_t \in \{0,1\}$. ...
2
votes
2answers
132 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
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 ...
7
votes
2answers
452 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 ...
0
votes
1answer
123 views

What's the best model to analyze inflation seasonal adjustment with R?

Please, put in R the following structure: ...
3
votes
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 ...
2
votes
2answers
520 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?
5
votes
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 ...
0
votes
0answers
72 views

Analyzing ratios or numerator/denominator, with weights, measured over time at irregular intervals

I have gathered information on the rate increases allowed by a government regulator over about 17 years. As background, utilities in this area must apply to the regulator if they wish to raise their ...
2
votes
2answers
3k views

How to know if a time series is stationary or non-stationary?

I am using R, I searched on Google and learnt that kpss.test(), PP.test(), and adf.test() ...
1
vote
3answers
953 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 ...
1
vote
1answer
435 views

Characteristics of gold prices in an ARIMA model analysis

I'm forecasting gold prices using an ARIMA model. An ARIMA model requires a stationary, non-seasonal, linear series. However, after reading a few books, it seems that gold price data is ...
10
votes
4answers
4k views

Why does a time series have to be stationary?

I understand that a stationary time series is one whose mean and variance is constant over time. Can someone please explain why we have to make sure our data set is stationary before we can run ...
0
votes
2answers
1k views

How do I interpret conflicting results from adf.test and pp.test in R?

I have difficulty in solving unit root test by using both adf.test and pp.test in R. The result p-value using ...
2
votes
0answers
297 views

Dickey Fuller test

I am studying the Dickey Fuller test. The book of reference is Introductory Econometrics for Finance by C. Brooks. I firstly consider the zero mean Dickey Fuller test that uses the "random walk" type ...
0
votes
1answer
298 views

How could I confirm if the time series is stationary?

I'm using KPSS method to check if the time series is stationary, but I would also like to use another test to confirm the hypothesis that the time series is stationary. I'm already using Unit root ...
3
votes
3answers
618 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 ...
0
votes
1answer
250 views

Using a deterministic trend in OLS

I have a time series data, see jpg. It goes straight up and then straight down, later tailing off. This seems to fit my textbook’s description of a deterministic trend being an almost exact function ...
2
votes
0answers
424 views

Intuitive explanation of stationarity

I was wrestling with stationarity in my head for a while... Is this how you think about it? Any comments or further thoughts will be appreciated. Stationary process is the one which generates ...
1
vote
1answer
186 views

Testing two I(1) vectors for a relationship

Suppose I have two I(1) time series X and Y, and I want to know whether X and Y are "related" (for some definition of "related"). The standard cointegration approach defines relationship as ...
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 - ...
5
votes
2answers
271 views

How to test for parameter stationarity?

Suppose I have time series observations from distributions drawn from some population. That is, I observe $X_{t,i}$ for $t=1,2,...,T,$ and $i=1,2,...,n$, where I believe that $X_{t,i}$ have pdf ...
18
votes
5answers
5k views

How to make a time series stationary?

Besides taking differences, what are other techniques for making a non-stationary time series, stationary? Ordinarily one refers to a series as "integrated of order p" if it can be made stationary ...