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

learn more… | top users | synonyms

0
votes
0answers
21 views

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 ...
1
vote
0answers
8 views

Application of Zivot-Andrews and Clemente, Montañés, Reyes unit root tests throws error [migrated]

I am trying to run the zandrews and clemao / clemio commands in ...
0
votes
1answer
10 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 ...
0
votes
1answer
23 views

Interpretation of ADF Test

I am doing the augumented Dickey-Fuller test to check if my series are stationary or not. ...
2
votes
1answer
68 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 ...
0
votes
1answer
24 views

Interpretation of critical values of KPSS test

I am using the KPSS test from the R urca package. My result is the following: ...
1
vote
1answer
32 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 ...
1
vote
1answer
16 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 ...
0
votes
1answer
14 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, ...
1
vote
1answer
41 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 ...
0
votes
1answer
32 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 ...
1
vote
0answers
21 views

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", ...
1
vote
2answers
148 views

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?
0
votes
1answer
23 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 ...
3
votes
1answer
67 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 ...
0
votes
2answers
178 views

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

When you have an output such as this in Stata for dfgls: ...
1
vote
1answer
67 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 ...
0
votes
0answers
25 views

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 ...
2
votes
2answers
52 views

Stationarity after differencing

I have the following two processes: \begin{align} x_t &= x_{t-1} + u_t \tag{1} \\ x_t &= {\beta}_0 + {\beta}_1t + u_t \tag{2} \end{align} Differencing once leads to: \begin{align} \Delta ...
2
votes
1answer
225 views

Lag selection for Augmented Dickey Fuller test

Apologies in advance, I am a beginner so these questions might be quite simple. I am testing log real exchange rates for unit root stationarity for EU15 countries. I was wondering what is the best way ...
2
votes
3answers
180 views

Estimation of unit-root AR(1) model with OLS

Given a random walk $x_t$, $$x_t=x_{t-1}+\varepsilon_t,$$ consider estimating the slope coefficient $\beta$ in $$x_t=\beta x_{t-1}+\varepsilon_t$$ by OLS. This question and the following answer ...
1
vote
2answers
294 views

Augmented Dickey-Fuller Unit Root Test & Cointegration

Using Stata 13. I have a pair of variables (x, y) over time. I want to regress y on x. Do I have to perform a ADF test 1st on x and y to find if both are stationary in their 1st difference (i.e. ...
0
votes
0answers
43 views

Regression with differenced variables

This is my data frame containing some interest rates as well as the amount outstanding of open market operations. Now I want to regress EurOis3 on ...
1
vote
1answer
71 views

Unit roots and order of differencing

I'm studying the stationarity with unit root tests and the order of integration in time series $\ln(x)$ and $\ln(y)$ found here. I'm using Dickey-Fuller test with constant but no trend. From what I ...
0
votes
1answer
64 views

Differencing variables with unit roots

I want to regress my dependent variable on my independent variables in R. First for the level of the variables: lm(y~x+z+u). Now since my variables are ...
0
votes
0answers
189 views

Is it ok to have a unit root within an independent variable?

The Dickey-Fuller and ADF tests testing for a unit root in variables are very sensitive. Some econometricians have personally indicated to me that in some cases it may be acceptable to model a ...
1
vote
2answers
94 views

Non-Stationary: Larger-than-unit root [duplicate]

I keep reading everywhere that a time series is non-stationary (e.g. http://en.wikipedia.org/wiki/Unit_root or http://en.wikipedia.org/wiki/Stationary_process) if there's a unit-root. But isn't a ...
1
vote
0answers
258 views

How to deal with unit roots in panel regression with fixed effects?

I am trying to figure out how to alter my panel regression in a case where fixed effects exists and one (or both) of the variables are I(1) processes (or in other words contain unit root). This is ...
1
vote
1answer
100 views

Difference between random walk and process integrated of order one?

I know that an $I(1)$ process becomes stationary after differencing once. However, I somehow always equated that to its being a random walk because say having a unit root process like \begin{eqnarray} ...
0
votes
2answers
111 views

Unit-root test for unbalanced panel data

I have data on 146 institutions for 15 years. All of them have not data for all time points so that I have unbalanced panel data. How can I calculate a unit-root test in Stata or EViews for this ...
0
votes
0answers
197 views

Augmented Dickey-Fuller Trend and Intercept

I am trying to determine if I should include an "intercept" or a "trend and intercept" when using the Augmented Dickey-Fuller (ADF) test. I ran a regression with my dependent variable and a time ...
0
votes
0answers
42 views

Unit root and cointegration in Panel Data

What should I do when I found out that my variables are stationary in first differencies? Should I estimate model in differencies? How unit root is related with cointegration? Thx for answers.
0
votes
1answer
57 views

daily data series that exist seasonal component

I've a daily dataset(n=76), i try to find the best ARIMA model for forecasting purposes. When i check the correlogram (ACF), i found that there is a wave like pattern and this told me my data presence ...
0
votes
1answer
69 views

Unit Root testing and stationarity of a time series

I'm trying to understand: how is check for stationarity(or lack thereoff) linked to unit root testing. More so the logic of it. i understand the null hypothesis used in adf or kpss but I need the ...
0
votes
0answers
28 views

Large N, small T panel - modeling

I would like to ask your opinion on the possibility to use repeated survey results for panel data models. It is likely that at least some of the variables will be nonstationary. Is it necessary to ...
1
vote
1answer
312 views

Clarification on ARDL/Unrestricted Error Correction Model

I have a few questions about unrestricted error correction models. The UECM for a model where $Y$ is the dependent variable and $x$ is the sole independent variable is given by, $$ \Delta ...
2
votes
0answers
67 views

Regressing nonstationary on stationary variable

I am trying to empirically estimate the coefficient for the Okun's law as a relationship between output growth and unemployment. I am using the simple gap version, where I regress real output growth ...
0
votes
0answers
37 views

Stationarity at different confidence levels

Everyone! My question is, when looking for cointegration between two variables, I need to make sure that they are not stationary in levels. However, one of the variables is not stationary at the 5% ...
3
votes
1answer
3k views

Test for cointegration between two time series using Engle–Granger two-step method

I am seeking to test for cointegration between two time series. Both series have weekly data spanning ~3 years. I am trying to do the Engle-Granger Two Step Method. My order of operations follows. ...
4
votes
1answer
186 views

Best practice for ADF/KPSS unit root testing sequence?

I've been quite confused by the various unit root testing strategies recommended in the literature, so I was hoping others may have some advice on the best way to proceed using ADF and KPSS tests. ...
0
votes
0answers
81 views

Different results in ADF test

I have a question regarding the results I am getting from the augmented dickey fuller test for unit root. I am conducting the test in Eviews and I have the option to choose from intercept/trend and ...
0
votes
0answers
35 views

Unit Root Confirmed- How generate the new series with Diff, Trend,Intercept

I have a data series that became stationary at first difference and including both Trend and Intercept. I know how to generate a new variable using first differencing (Eviews) but how should I cater ...
0
votes
0answers
271 views

KPSS test in R interpretation

So in the R package tseries's kpss.test function, it seems I can specify whether the null hypothesis is trend stationary or level stationary(default). ...
1
vote
1answer
106 views

Structural-break unit-root test

My problem is the following: I have a model forecasting the sales of a certain brand. In period 4 a strike caused the sales to decrease. I want to know whether this strike has caused the sales to ...
0
votes
2answers
170 views

How to interpolate a variable with frequency of 5 years to annual data?

I have two time-series variables: each has 14 points with an interval of 5 years. The precise years are: ...
3
votes
2answers
2k views

How to read UNIT ROOT TEST results obtained from EVIEWS? I mean what values do we study to interpret our result?

Null Hypothesis: D(OIL_PRICES) has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=22) ...
1
vote
1answer
89 views

Interpretation of results for unitroot test

Let's say I have a pure random walk: ...
0
votes
2answers
49 views

Unit root in shares

Suppose that dependent variable is a share of sth (for example it is a % of positive answers to the same question in each period of time t). If data shows the unit ...
0
votes
0answers
41 views

Unit Root Test and rolling data

Please could you kindly advise on the implication of testing for unit root (using the augmented dickey fuller approach) on rolling data. My feeling is that this wouldn't make much sense given the non ...
1
vote
1answer
236 views

Unit roots and GMM estimation

I want to estimate panel models of the following structure: $y_{it} = \rho y_{i,t-1} + \beta_1 x_1 + \dots + \beta_k x_k + c_i + \gamma_t + \epsilon_{it}$, where $c_i$ are time constant country ...