Linked Questions

16
votes
2answers
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 ...
16
votes
2answers
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.
8
votes
3answers
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 ...
5
votes
3answers
10k views

Contradictory results of ADF and KPSS unit root tests

To check whether the data is stationary or not, I computed KPSS and ADF test and got the following results ...
5
votes
4answers
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?
1
vote
2answers
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 ...
1
vote
1answer
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: ...
0
votes
0answers
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 ...
2
votes
0answers
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 ...
0
votes
0answers
332 views

Testing if linear drift exists in time series data

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 ...
1
vote
1answer
103 views

Logarithm of stock index and the non-logarithm version gives different conclusions about stationarity

I am currently conducting a test of stationarity on the Shanghai Stock Exchange (SSE) index. Clearly when graphing both the ln(SSE) and SSE series, I see an upward trend, which should clearly ...