36k views

### Confusion with Augmented Dickey Fuller test

I am working on the data set electricity available in R package TSA. My aim is to find out if an ...
21k views

### Persistence in time series

Could someone tell me what the term 'persistence' mean in time series analysis? It's regarding econometrics and applied regression.
1k views

### Overfitting on purpose

Would it make sense to overfit a model on purpose? Say I have a use case where I know the data will not vary much respect to the training data. I'm thinking here about traffic prediction, where the ...
10k views

To check whether the data is stationary or not, I computed KPSS and ADF test and got the following results ...
219 views

### Can time series data have both unit root and structural break?

My data rejects unit root, but shows structural break, is this possible?
3k views

### ADF test, PP test, KPSS test: Which test to prefer?

If a time series is tested for Unit Root (by ADF, PP, KPSS,...) problem is detected with some tests and not found by others. Which one is preferred? For example if ADF says us that there is a Unit ...
1k views

### ADF test showing stationary for a non stationary series

I am running an ADF test in R on the following series: This to me is clearly non-stationary, but when I run the ADF test: ...
970 views

### Detrending or Differencing in order to make a series stationary?

I got several time series for which I want to find out if they are stationary or not. So I computed for each series the kpss.test(). But before making further ...
539 views

### About 2 unit root tests and null hypothesis

I have been looking at unit root testing. Specifically 2 tests: The ADF test. The ADF (augmented Dickey Fuller) test has the null hypothesis that "the time series has a unit root" (meaning that the ...
I have some data $X_1, X_2, ..., X_n$ which shows no apparent sign of linear drift. Nethertheless, I want to conduct some sort of test which I could use in instances which are not so clear. Is there ...