Linked Questions
17 questions linked to/from How is the augmented Dickey–Fuller test (ADF) table of critical values calculated?
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Simulate the critical values of Dickey-Fuller test statistic with R [duplicate]
I am trying to replicate (approximately) the results of the unit root tests described in chapter 17 of Hamilton's book. For the case
\begin{equation}
y_{t}=y_{t-1}+\varepsilon_{t},\ \varepsilon_{t}\...
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Why is the dickey fuller test different from a simple t-test
I am trying to understand why should there be different distribution for t-statistic, in case of AR model, Dickey-Fuller test
For e.g. Say, the model is $Y_t = \beta_lY_{t-1} + \varepsilon_{t}$.
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Why, exactly, is a unit root a problem?
Suppose that we have observations $x_1,\dots,x_n$ for some process.
We want to fit an AR(k) model to these observations.
I do not understand why the naïve OLS approach to estimate our AR(k) ...
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Can Dickey-Fuller be used if the residuals are non-normal?
Can the unit root test of Dickey-Fuller be used even when the residuals are not normally distributed?
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Reference Request: Book on Unit Root Theory
In trying to do time series analysis, I almost regularly stumble upon unit root and cointegration tests. The design of most these tests is based on a null of unit root (for both linear and non-linear ...
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Dickey-Fuller unit root test with no trend and supressed constant in Stata
I have seen in several papers that the $p$-value for the Dickey-Fuller (DF) test is reported for the test including trend and constant, then without the trend, and in the end in the absence of both. ...
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Dickey-Fuller test and Monte Carlo method
The Dickey-Fuller test aims to test the presence of unit roots in a process.
If I've the following process:
$$y_t = a_1y_{t-1} +\epsilon_t$$
it tests $H_0\colon \ a_1=1$.
If I specify $\theta =a_1-...
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Generating the ADF test distribution
I am trying to replicate the distributions for the Dickey-Fuller Unit Root test, but I had no success.
I tried reading the original paper (but explains more of the 70's computing than about the ...
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I would like to know how Dickey fuller test works. Is there some pseudo code I can study?
Is there source code that I can read to understand the dickey fuller test in detail to understand how it works. I am really confused on how the Dickey Fuller test / Augmented Dickey Fuller tests work. ...
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Testing by using KPSS
When use KPSS to test the stationarity of data series I get this warning .Does it affect the final results?
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Is it legit to estimate an AR(1) model for non-stationary time series?
Suppose ${X_{t}}$ is a non-stationary process. The goal is to estimate the following AR(1) model:
$$X_{t}=\alpha +\beta X_{t-1}+\epsilon_t.$$
From classical time series analysis, we know that ...
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Understanding different versions of Augmented Dickey Fuller tests
I am new to statistics and I have been struggling to understand the three different versions of (A)DF test. For simplicity I will use the naming conventions from https://en.wikipedia.org/wiki/Dickey%...
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KPSS test with Bonferroni Correction. alpha < 0.01
I want to apply a Bonferroni correction on multiple KPSS tests for stationarity. I have $m$ tests, and so I want to see if the p-values are less than $0.01/m$.
The problem is that the statistical ...
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ADF and KPSS test both conclude stationarity but the time series has trend?
I am trying to implement time series stationarity tests on my data. When I carry out ADF (Augmented Dickey-Fuller) and KPSS tests on my data the p values suggest time series stationarity. However, ...
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How to use MC simulation to calculate Supremum ADF test critical values
I am replicating some techniques from Advances in Financial Machine Learning by Marcos López de Prado. In Chap 17, I am doing the Supremum ADF test and Quantile ADF test. It seems that they do not ...
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