Timeline for ADF test suggesting incorrectly that series is stationary
Current License: CC BY-SA 4.0
9 events
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| Jan 12, 2023 at 10:35 | comment | added | ColorStatistics | @Alexis: I was reminded of our exchange here when I just saw Wikipedia state "In contrast, when the process has no unit root, it is stationary and hence exhibits reversion to the mean... " en.wikipedia.org/wiki/Augmented_Dickey%E2%80%93Fuller_test | |
| May 12, 2022 at 21:33 | history | edited | Alexis | CC BY-SA 4.0 |
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| Aug 26, 2021 at 15:24 | comment | added | Alexis | @RichardHardy Beautiful! Thank you! See my edit. (And feel free to make further suggestions if that does not help enough or makes things worse. :) | |
| Aug 26, 2021 at 15:24 | history | edited | Alexis | CC BY-SA 4.0 |
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| Aug 26, 2021 at 14:01 | comment | added | Richard Hardy | Regarding the phrasing of your last sentence: ADF is not robust to this issue. I think I understand what you mean, but on the other hand the ADF test showed itself to be robust to misspecification of variance; the test's result that primarily depends on the mean specification was as expected in spite of time-varying variance. | |
| Aug 25, 2021 at 20:10 | history | edited | Alexis | CC BY-SA 4.0 |
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| Aug 25, 2021 at 18:52 | history | edited | Alexis | CC BY-SA 4.0 |
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| Aug 25, 2021 at 18:29 | comment | added | ColorStatistics | This is an important point to clarify, Alexis. Book after book after rejecting the null hypothesis in ADF, conclude the series is stationary or trend-stationary when it really should say perhaps: mean-stationary or trend-mean-stationary. | |
| Aug 25, 2021 at 18:22 | history | answered | Alexis | CC BY-SA 4.0 |