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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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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31 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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23 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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29 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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48 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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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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22 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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15 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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1answer
23 views

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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18 views

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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21 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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19 views

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
47 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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22 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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30 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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16 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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31 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 ...
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48 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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34 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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42 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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35 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
40 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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67 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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26 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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16 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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121 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
93 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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389 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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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
128 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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1answer
93 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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120 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
181 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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90 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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1answer
143 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
57 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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2answers
55 views

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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335 views

Interpretation of ur.df - “p-value”?

When applying the "urca" package function ur.df, like ...
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2answers
2k 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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1answer
44 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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60 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 ...