A unit root is a property of a non-stationary time series which can lead to spurious regressions and wrong inference.

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ADF test in EVIEWS [closed]

I need help interpreting the results of the ADF test that is reported below. Based on the test result, should I conclude that GDP is stationary or nonstationary? ...
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Why is cointegration found without unit root?

I'm working on the multiple price series data to look for the long run relationships. DF-GLS tests for unit root are rejected although the series show some trends and seem stationary after ...
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19 views

Johansen cointegration test: interpret the result

I am trying to develop a stationary time series with 6 variables in Matlab. Can anyone tell me whether the 6 variables are cointegrated? The results I got are:
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31 views

Why does this condition on AR coefficients imply a unit root?

Consider an AR($q$) process: $$ X_t-\theta_1 X_{t-1}-...-\theta_q X_{t-q}=Z_t $$ where $Z_t$~$WN(0,1)$. Why does the following condition on the process's coefficients imply a unit root: $$ ...
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35 views

Unit roots Dickey Fuller test question

I've been searching in bibliography about this test applied to an ARMA(p,q) model, and find out that every single book states the null hypothesis as "1 is a root of the operator". I was wondering if ...
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23 views

Augmented Dickey-Fuller test and Differencing (R)

I'm using the ADF test to check for stationarity of two variables, using the ndiffs function in R. ...
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35 views

Is there an unambiguous stationarity test for time series?

It seems to me that the time series plot, the correlograms (ACS, PACS) and the "autocorrelation check for residuals test" can all be subject to interpretation. (I am using SAS 9.4) Is there an ...
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1answer
63 views

Testing for drift in random walk

How would you test whether a unit root I(1) process has a statistically significant constant? To my understanding, the AR(1) regression in the levels is statistically spurious, and hence we cannot ...
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23 views

Some, but not all, panels seem to cointegrate

I am trying to estimate the long-run relationship between equity prices and bond default risk measures using a 250*250 panel of firms. There is strong theoretical evidence that there is a relationship ...
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12 views

Second Differences and Quadratic Trends

I know that any second differenced model has a quadratic trend, but how do you know if its best modelled with stationary or non stationary deviations around this?
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57 views

Levin Lin Chu Test for unit root testing in panel data

I want to perform the Levin-Lin-Chu test for unit roots on my pension fund dataset. I have observations: T=10 N=15. The y variable is the portfolio risk of a pension fund in t It is tested if the ...
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Can i check unit root of series having missing values with eviews or any other software?

I am trying to find the impact of selected expenditure on selected economic growth determinants for 6 developing countries from 1990 to 2013 . Some of the data in the series is missing. So, i want to ...
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Is my Levin Li Chu t test statistic for unit root test in panel data too high?

Method Levin, Lin & Chu t* Statistic -308.914 Prob.** 0.0000 Sample details: Null Hypothesis: Unit root (common unit root process) Series: LMCAP Date: 11/18/15 Time: 12:36 Sample: 2009 ...
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R: Access/store optimal number of lags from unit root test [closed]

I am testing several variables for unit roots via the ur.df (from urca package) and CADFtest ...
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1answer
75 views

Conflicting results from $p$-value and $t$-value: Should I ignore the $p$-value in the ADF test?

I'm pretty new to the concepts of stationarity/cointegration. I am using the "urca" package in "Rstudio" to run my tests. I have been trying to run cointegration tests, but the frustrating thing is ...
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315 views

Nice example where a series without a unit root is non stationary?

I've seen several times people reject the null in an augmented Dickey-Fuller test, and then claim that it shows their series is stationary (unfortunately, I cannot show the sources of these claims, ...
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Eviews: How I interpret the unit root test results for unbalanced panel data?

Panel unit root test: Summary Series: ENERGYGDPPPP Date: 10/27/15 Time: 16:19 Sample: 1990 2011 Exogenous variables: Individual effects Automatic selection of maximum lags Automatic lag length ...
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Implementation of Dickey-Fuller test in R [closed]

I'm working with Dickey-Fuller test. The steps are as follows: Step 1: Starting with model 3, test the significance of time trend. If it isn't significant, then go to step 2. If it is, then test the ...
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1answer
92 views

Signs on independent variables change in VECM results

I am estimating a VECM model and it was determined by the trace tests that there are two cointegration equations. From this, I proceeded to estimate the β under this restriction that provides the ...
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56 views

ADF test for Unit Root, should you select a trend if the trend changes once?

Let's say you have a variable with a time series going back ten years. In the first 5 years, it clearly trends from 5 to 10. And, in the next 5 years, it trends downward from 10 back down to 5. ...
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63 views

Panel Unit Root tests for unbalanced panel data in Eviews 8

I have difficulty in panel unit root tests, How I can decide the variable is non-stationary, for instance, my industry share variable vaires, at level, under individual effects its'probability is ...
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1answer
81 views

Unit Root Test - Order of Integration (Johansen)

Let's assume we have 2 variables and test each of them for a unit root with the ADF test. When plotting the data, we can see that it has some up/down movements but is overall clearly trending upwards. ...
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51 views

xtunitroot fisher interpretation

I would like to test if one of my variables is stationary (unemployment) with the xtunitroot fisher test. First, I do NOT include "trend" in the command and then I include "trend" - the results ...
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93 views

Problems with taking the first difference of a stationary series

Suppose you have sufficient observations for running a time-series regression, but you do not have sufficient observations to accurately test for the stationarity of the residuals. If you do take the ...
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1answer
46 views

Half life (Dickey-Fuller)

If I estimate the regression $$y_t=\alpha+\rho y_{t-1}+\varepsilon_t$$ the half life of this process for $\rho\neq 1$ is $\text{ln}(0.5)/\text{ln}(\rho)$. If I instead estimate the Dickey-Fuller ...
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how does Augmented Dickey Fuller results help to make the data stationary?

I have done an Augmented Dickey Fuller test on a variable without differencing it (or without making any transformations). Attached is my output. Now my question is how will this result (considering ...
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155 views

Interpretation of ur.df - “p-value”?

When applying the "urca" package function ur.df, like ...
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511 views

R: Augmented Dickey Fuller (ADF) test

I'm having a problem with the Dickey-Fuller p-values and test statistic for unit root test in R. I tried using functions: ...
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33 views

unit root tests: trend included for bounded series

X lies in a 0,100 interval and i want to check if X has a unit root. In (A)DF, and PP unit root tests one can have an intercept and/or a trend (in addition to the level and difference X lags). But ...
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44 views

Number of lags for a unit root test

I have some panel data and am suspicious of presence of unit root. As the dataset is unbalanced, I would like to use the xtunitroot fisher command in Stata. Is ...
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What is the correct unit root/stationarity test for this variable? Why do different tests provide different conclusions?

This is something of a follow up question to a previous question I had here: Can over differencing cause a singular matrix in a VAR model? A brief recap of what I am trying to accomplish: I want to ...
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32 views

Which panel unit root tests should I use? Panel of 7 countries and 7 years

I have a balanced data of 7 years and looking into 7 countries. There are many panel unit root tests to be used. I am looking at using the Fisher-type and IPS tests but there are more than that and I ...
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Unbalanced regression testing Uncovered Interest Parity

This is my first time using the site - and first time I've asked a question, so please redirect me if I am in the wrong area or if you're aware that a similar question has already been asked. I took ...
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1answer
24 views

Augumented Dickey fuller unit root test- STATA

The attached image is my output for augumented dickey fuller unit root test from stata, I am not sure my data is stationary. if it is please explain based on what rule. because some places i see ...
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113 views

Interpretation of ADF Test

I am doing the augumented Dickey-Fuller test to check if my series are stationary or not. ...
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118 views

Unit root near unit circle or near 1?

According to slide 6 of Bartlett's Introduction to Time Series Analysis, Lecture 6 (with emphasis on slide 6), an autoregressive time series model is stationary if the autoregressive polynomial has a ...
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1answer
201 views

Interpretation of critical values of KPSS test

I am using the KPSS test from the R urca package. My result is the following: ...
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72 views

Correct Unit Root Testing

I have a few time series of variables with each 40 monthly observations. Now I want to test each variable for Unit Root (non-stationarity). My Question: How to choose the optimal lag length when ...
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1answer
31 views

Vector error correction model and trending series

I am struggling with VECM pretests. I have conducted correlogram and it shows that all of my variables are nonstationary, except the log of adjusted GDP. So I decide to double check and conduct ADF ...
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118 views

Vector autoregression model with unit root in the exogenous variable and endogenous variables

I was wondering whether I should worry about the fact that I have one unit root in my exogenous variable. I think based on what I understand that I should first difference the variable with unit root, ...
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53 views

Testing for unit roots

I am an absolute beginner and I need help on testing for unit-roots in Stata. As the data is unbalanced (no missing values, but some time series begin later than others) it seems to me that I could ...
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1answer
138 views

Maximum lag selection for panel unit root tests

I am interested in conducting panel unit root tests on a panel of subregional annual data where N>100 and T<10 (more specifically, depending on the independent variables included in each ...
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What does the following ADF test in R signify?

While checking for stationarity of differences (first difference) data using ADF test in R, I get that the test statistic is significant for all the deterministic regressors - "none", "drift", ...
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Forecasting: Is correct to say “If the time series is non-stationary” don't use ARIMA models?

In case I dont want to "pre-process" the time series. I do a unit root test, and if it gives that is a non-stationary time series, then I will stay away from ARIMA models. Is this correct?
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52 views

Cointegration between a variable of significant seasonality and one with no significant seasonality

After running programs of deseasonalization, I had an output in which one variable held significant seasonality, for which I corrected, and another that did not have. My main objective was to ...
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144 views

Explosive processes, non-stationarity and unit roots, how to distinguish?

I understand that if we have a simple model such as: $Y_t$=$\rho$$Y_{t-1}$+$\epsilon_t$ where $\rho$ is less than one in absolute value then we have a stationary process. If $\rho$ equals one then ...
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2answers
692 views

Which is the best criterion for DF-GLS lag selection?

When you have an output such as this in Stata for dfgls: ...
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155 views

Is there an optmal lag choice in the KPSS test?

Is there an optimal lag choice in the KPSS test in Stata? For instance, in my example below, for some lags (less than 7) you reject the null for any level of significance. But afterwards, that does ...
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Augmented Dickey-Fuller test with time trend term

I have time series variable X, Y and Z. I need to analyse these variables by using a VAR model. Before running a regression I did augmented Dickey-Fuller test and found that one variable is stationary ...