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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Cointegration test results differ for different test specifications (drift, trend, etc.)

I am testing whether stock indices are cointegrated. I have two series representing different indices. Both have been tested and are I(1). When I apply the Johansen test (on eViews), I choose the ...
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6 views

Stata takes first diffrence of ADF by default without specifing. Is this the same for the Phillips Perron Test? [on hold]

If I perform an ADF in Stata, I do not need to specify with a D. before the variable that I am taking the first difference. I wondered if this is also the case for ...
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13 views

Dicky-Fuller test and Stationarity

On a periodic (365 days) data, I ran dicky fuller test and that shows it is stationary. However ACF plot does not show a geometric decay, I think that is because of periodicity, Is it stationary or I ...
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32 views

Vector Autoregressive Models with Non Stationary Variables [duplicate]

I am beginning to study VAR models, and I have a simple question. If I have three variables and one of them is nonstationary, can I estimate a standard VAR model? If not, what should I do?
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1answer
25 views

Dickey Fuller and deterministic regressors

Can somebody help me with how I can determine what deterministic regressors(trend, drift and intercept) I shall include in the Dickey Fuller test. A Stata help file outlines four cases: 1 Random ...
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13 views

Correct for trend and drift in my regression model

I am running unit-root tests (xtunitroot, dfuller: stata)on the variables in my panel data. The default specification of the test includes a constant term. On some ...
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1answer
40 views

Dickey-Fuller unit root test with no trend and supressed constant in Stata

I have seen in several papers that the $p$-value for the Dickey-Fuller (DF) test is reported for the test including trend and constant, then without the trend, and in the end in the absence of both. ...
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1answer
31 views

Understanding Fisher unit root test in Stata: trend, demean

I am testing a panel data set for unit roots. I am using xtunitroot fisher (option) dfuller (...
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23 views

Does this series have a unit root?

I am trying to figure out whether my time series is stationary or not. In order to do so I run four different tests: the three test from the Dickey-Fuller test (standard, drift and trend) given by the ...
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1answer
18 views

Interpreting adfTest results in R

I do have a problem interpreting the results I got when I ran adfTest from "fUnitRoots" package in R. The test results are: ...
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28 views

Time trend in DF unit root test

I have a couple of questions concerning the time trend (βt) in an augmented Dickey-Fuller test for panel data: 1) From what I understand there is no clear rule/standard or test as to when to include ...
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17 views

Time series, unit root test

when you using time series data to run a regression and you've tested for unit root and you found out that your variables are stationary at different levels, how do you control for that? or more ...
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General question regarding unit-root tests on panel-data

I am running FE and RE regressions and my Prof. suggested that I run unit-root tests. I have been trying to do that with R but am not able to find a library that will handle unbalanced panels with ...
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R: Calculating Unit Root for unbalanced data with gaps

I have panel data that I need to calculate a unit-root test on. The data is unbalanced and has gaps. Does anyone know of a library that handles unbalanced panel-data with gaps? I have tried the ...
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21 views

Cointegration test of stationary variables with structural breaks

I am trying to implement test of cointegration (Johansen trace and eigenvalue) between 2 variables that are stationary at first difference but after Zivot-Andrews test of unit root I found they have ...
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0answers
45 views

R: Stationarity/non-Stationarity: implementing a solution

I have an Augmented Dickey Fuller Test in R on leg_totalbills that shows I can not reject the null hypothesis: Unit Root. The ...
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1answer
29 views

How does trend stationary recovers from shocks in long run?

I was trying to understand difference between drift and trend wherein I came across concepts of unit roots and trend stationary. (I haven't read any books on time series, just going through web). ...
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59 views

Optimal lag selection for panel unit root test PESCADF and CIPS

I am running second generation panel unit root test in stata, CIPS with "multipurt" and PESCADF with "pescadf", but I would like to know if there is a way to know the optimal lag selection, and if I ...
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Is it ok to use Panel Unit Root Tests for all currency pairs in a sample? (Not one common base currency)

I have a dataset containing the real exchange rates for all country pairs within the OECD. Now I would like to test stationarity using one of the many panel unit root tests. However, reading Pesaran, ...
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1answer
78 views

How is the augmented Dickey–Fuller test (ADF) table of critical values calculated?

Could you please explain in simple terms how the table of critical values for the augmented Dickey–Fuller (ADF) test is created?
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39 views

logarithm and absolute value in returns of stocks

I'm interested in model a GARCH for a serie. The original serie is $y_t$ (price index of a Stock Market), which has a unit root. So I created the returns: $x_t = \ln(y_t) - \ln(y_{t-1})$. Now, I'm ...
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31 views

Comparing unit root tests

When comparing the results of different unit root tests (in this case DF-GLS test with and ADF test), should I keep the lag length fixed for both tests, or am-I allowed to use predefined/suggested ...
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39 views

Autoregressive model for time series with structural breaks

I'm using a structural break model (threshold model or regime switching model) to examine the dynamics of a time series. The ADF test shows that the series has a unit root. Right now I'm regressing $y$...
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55 views

Phillips-Perron Unit Root Test with exogenous breaks

I would need to do a Philips-Perron test in R, while controlling for an exogenous break. I found the Philips-Perron test in the package tseries (PP.test), but can't find (contrary to the CADF test) ...
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1answer
67 views

Choosing the maximum lag length in the augmented Dickey-Fuller test

I have a question regarding how to choose the maximum lag length in the augmented Dickey-Fuller test using the "urca" package in R. I want to perform the ADF test on the daily price of a stock index ...
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29 views

What do you think of this correlogram?

do you think this weekly data is stationary? Unit-root test indicates rejects null of non-stationary (rejects null of unit root). Thanks for your input.
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Dickey fuller/ unit-root test controversy

The regression equation of dickey fuller test is defined as: $$\Delta y_t = py_{t-1}+e_t$$ Trends and constants may also be added.The test statistic can be derived in the following way: $$y_t=\beta ...
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13 views

Granger causality test for integrated variables: to difference or not to difference? [duplicate]

Given a pair of I(1) variables, should I difference them before conducting the Granger causality test? Additionally, which lag would I use to check the causality?
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1answer
76 views

Is a trend-stationary variable I(1) or I(0)?

I am trying to do cointegration analysis between two variables. I first used the standard Dickey-Fuller and Phillips-Perron tests; they concluded my variables were I(1). I then did cointegration and ...
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1answer
60 views

Does using difference transformation lead to bias? (Levels vs differences regression)

Consider the model estimated in levels (also assume this is the true population model): $$y_t = x_t\beta + e_t$$ As usual we have the dependent variable $y$, independent $x$, the error term $e$, and ...
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36 views

Critical values for Levin & Lin (1992) unit root test with lags

I am testing for the presence of unit root in a panel data with $T=12$ and $N=60$. I am using the Levin & Lin "Unit root tests in Panel data: asymptotic and finite-sample properties" (1992) ...
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77 views

ADF Test Variation between tseries::adf.test in R and Matlab adftest

I'm having an issue getting the p-values out of the ADF Test to match between the tseries package in R and the output in Matlab. Using the example from the Matlab help located in the help files <...
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41 views

How to code dummy variables for structural breaks in VAR

This question is really 2-in-1: 1) How do I code dummy variables for the following series that has 2 structural breaks in trend; an initial upward trend, then a much flatter upward trend, then ...
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Unit root tests ambigous - is time series stationary?

I am testing a time series (quarterly) for stationarity. However, using the KPSS test, the ADF test and PP test, I get different results (ADF and PP reject non-stationarity, KPSS rejects stationarity, ...
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More than one unit root

I'm wondering how to detect the existence of more than one unit root. I've tested the non-stationnarity of my serie using the strategy of test of Dickey-Fuller (joint hypothesis: Fisher), and I detect ...
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25 views

Are we using transformed or original series to fit a time series model?

I would like to know whether one can use the transformed series to fit a model or not. For example, fitsereies=auto.arima(differenced_series) or ...
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What would be an apporiate model for regressing multiple non-stationary time series data?

I have non-stationary time-series data (stationarity tested using ADF Test) for variables such as stock market returns, money supply, interest rates, exchange rate, inflation,etc. and I want to study ...
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1answer
71 views

Criticism of augmented Dickey-Fuller test

I am looking for literature that suggests the augmented Dickey-Fuller (ADF) test is not completely accurate, or in general criticizing the test.
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32 views

Testing for Unit Roots with Quadratic Trends in Stata

I understand that Dickey-Fuller test could test for a unit root with drift and deterministic time trend. $$ \nabla y_t = a_0+a_1t+\delta y_{t-1}+u_t \ $$ What are the tests for unit root with ...
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36 views

Choosing specification of the augmented Dickey-Fuller test

I am testing whether my time series data is stationary or not. But I do not know what to include in the test equation of the augmented Dickey-Fuller (ADF) test (Trend, Trend and Intercept, or None). ...
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17 views

Relationship between T, the Adjustment Rate, and Power for an Autoregressive Unit Root

So I have a question related to autoregressive unit roots. This picture shows a graph for c and n with power = .9 in blue and power = .8 in red. Any ideas what could be used to fit this graph or ...
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Difference between $y_t = \alpha + \beta t$ and $y_t = y_{t-1} + \beta$

Would someone mind walking me through the differences between: \begin{align} y_t &= \alpha + \beta t \\ &\& \\ y_t &= y_{t-1} + \beta \end{align} as well as between \begin{align} ...
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Interpret the result of augmented Dickey-Fuller test

As per the title, can anyone help me with this result? I have three more to analyze so hope that can learn it.
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Unit root: differencing vs. using % change vs. taking ln

Let's say your trying to forecast a country's GDP with an ARMA model. Obviously the original series will contain a unit root (at least most of the time), so which series would you use the model on? Is ...
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34 views

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 differenced....
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2answers
92 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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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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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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1answer
41 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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1answer
43 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 ...