# Unit root in shares

Suppose that dependent variable is a share of sth (for example it is a % of positive answers to the same question in each period of time t). If data shows the unit root problem, what does it mean? Process seems to be non-stationary in levels but stationary in first differences.

• The question "what does it mean" is so general it ends up being unanswerable. Please make your question more specific. – Alecos Papadopoulos Oct 16 '14 at 10:30
• Should I use level or first difference time series for building a model? – BiXiC Oct 16 '14 at 11:01
• If you don't know your way around non-stationary frameworks, it would be safer to use the first differences. This is the best I can offer for such limited knowledge of your case. – Alecos Papadopoulos Oct 16 '14 at 11:08
• My dependent variable is Brand awareness. This is % of people which tells that they know brand name. Obviously it correlate with lagged dependent variables... – BiXiC Oct 16 '14 at 12:42