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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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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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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doubt on ADF unit root test [closed]

In ADF test, how to select the lags if i have 22 observations(annual data)? which criteria i have to use AIC or BIC or t statistic? if i get the p value is less than 0.05 in levels by increasing the ...
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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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18 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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43 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
28 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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44 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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60 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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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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1answer
36 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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1answer
44 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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63 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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27 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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60 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
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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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64 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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30 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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24 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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20 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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67 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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30 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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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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89 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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46 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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1answer
39 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 ...
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1answer
70 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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28 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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20 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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158 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 ...