I estimated an AR(1) process, my data looks like this:
Making usual unit root test, they suggest that an estimated AR(1) from this data is stationary. Estimating the AR(1) over this data, these are the results:
z test of coefficients: Estimate Std. Error z value Pr(>|z|) ar1 0.728652 0.085601 8.5121 < 2.2e-16 *** intercept 20.176618 0.809543 24.9235 < 2.2e-16 ***
The purpose of this estimation is to get the stationary mean of the process, i.e.:
With the estimated values this turns out to be, given the significance of estimators:
Which clearly is outside the range the values data take, and is much larger than expected. What is wrong? Maybe I misinterpreted the unit root tests or something similar?