The unit-root tag has no wiki summary.
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How should I set the lag truncation parameter for a KPSS unit root test?
Would appreciate any responses and references if possible. Thank you
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Structural-break unit root model (Perron, 1989)
I'm writing my dissertation at this moment and I'm doing reseach into the effect of introducing a premium private label and the effect of changing the packaging of the standard private label for the ...
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1answer
90 views
Dickey-Fuller augemented tests, how to choose lags?
I’m trying to model a time series (log_consommation)in a ARIMA(p,d,q) using stata.
So I start by determining d by transforming my time series to make it stationary.
My question is, when performing ...
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27 views
About 2 unit root tests and null hypothesis
I have been looking at unit root testing. Specifically 2 tests:
The ADF test.
The ADF (augmented Dickey Fuller) test has the null hypothesis that "the time series has a unit root" (meaning that the ...
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1answer
36 views
adf.test returning p-value > 0.99 even when data is stationary
I have a pair of time series that I differenced and now take on values {-1, -0.5, 0, 0.5, 1}. My goal is to test them for Granger causality and discover any lead/lag relationships. Since this ...
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1answer
26 views
Correcting for random walk
Does taking the first difference of a series with a unit root ALWAYS give us a stationary series? I tried taking the first difference, but Dickey Fuller test tells me the new series still has a unit ...
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22 views
Consequences of non-stationarity on panel regression estimates
What are the consequences of including a non-stationary variable on a panel regression's slope estimates and their standard error estimates?
I am thinking of both Pooled OLS and Entity Fixed Effects. ...
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22 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 ...
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43 views
Unit root test for ARIMA models
I have a slight confusion regarding seasonal models and which polynomial to use for conducting unit root tests.
Given a model:
$\phi(B)\Phi(B^s)\Delta^d\Delta^D_S X_t = \theta(B)\Theta(B^s)\epsilon ...
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logdif modell different from log model
I'm not sure if a 1st difference transformation was a good idea. ADF of the dependent variable gave me 0.1177, so I couldn't reject unit root hypothesis, other unit root test though rejected the unit ...
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1answer
74 views
Unit root test specifications?
I am puzzled as to what specification I should include in my unit root tests of the following data: .
I will use ADF, KPSS and ZA tests. I can see there is a break in trend at observation 9. However, ...
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58 views
Choosing optimal lag length for ZA test: ZA unit root test lag order selection
I was wondering if anyone could help with choosing optimal lag length for ZA test.
There have been two lag order selection methods commonly used in the literature:
The ZA paper recommends to run ...
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2answers
557 views
How do you interpret results from unit root tests?
I have to do some unit root tests for a project, I'm just unsure on how to interpret the data (which is what I have been asked to do).
Here is one of my results:
...
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1answer
75 views
ARIMA modeling: can seasonal data be seasonally stationary?
I am new to ARIMA modeling and currently encountering a weird situation with time series of count data. The time plot shows clear seasonal patterns.ACF also hints on presence of seasonality. However, ...
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123 views
Selecting number of lags in ADF unit root test
I'm working on with a time series I want to check for unit root, it's a exchange rate index. I'm do the ADF with different lags, with an intercept and not with a trend, and it yields the results,
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1answer
253 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 ...
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40 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), ...
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1answer
269 views
Unit-root test in Minitab
I've read that Minitab does not perform the Augmented Dickey-Fuller test; I can't find it myself. Is there an alternative function in the package that will run a unit-root test?
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Can we use IPS test with Kao test?
I have a question about using panel unit root test and panel co integration test. I used IPS unit root test then I realized my variables are I(1) can I now use kao co-integration test for checking ...
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3answers
523 views
Unit root tests for panel data in R
I have the plm package and would like to run unit root tests on some variables. I get the following error:
...
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2answers
935 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?
28
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3answers
2k views
Intuitive explanation of unit root
How would you explain intuitively what is a unit root, in the context of the unit root test?
I'm thinking in ways of explaining much like I've founded in this question.
The case with unit root is ...
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1answer
1k views
What is the difference between serial correlation and having a unit root?
I may be mixing up my time series and non time series concepts, but what is the difference between a regression model that exhibits serial correlation and a model that exhibits a unit root?
In ...
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161 views
Checking a panel unit root test in R done manually
I have spent much time looking for a special package that could run the Pesaran(2007) unit root test (which assumes cross-sectional dependence unlike most others) and I have found none. So, I decided ...
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309 views
Panel unit root test (IPS test)
My question is very straight forward. For a long time, I have been looking for an R package that contains commands on a very popular panel unit root test which assumes cross-section independence, but ...
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1k views
Interpreting R's ur.df (Dickey-Fuller unit root test) results
I am running the following unit root test (Dickey-Fuller) on a time series using the ur.df() function in the urca package.
The ...
