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Questions tagged [augmented-dickey-fuller]

A test of the [null] hypothesis that a time series has a unit root (ie, that it is non-stationary).

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22 views

Does Augmented Dickey Fuller Test Capture both Trend and Seasonality?

When using ARIMA modeling to capture autocorrelation patterns, we remove trend by sequential differencing and seasonality by differencing at relevant lags prior to creating the ARMA model to capture ...
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Why does a trended series and a random series give low p values on ADF test?

Why do the following two series both produce p-values below 0.05, given that one is trending and the other not? What does this test really mean given this? ...
39 views

I'm regressing two time-series against one another, and I'm struggling with how to interpret an ADF test: does a low value indicate that a series, once detrended, would be stationary; or does it show ...
22 views

Variable does not follow a normal distribution, can I trust its p-value from a Unit Root test? [closed]

If a variable does not follow a normal distribution, I should not trust in the p-value from a Unit Root test, right?
34 views

Unit Roots in Short Horizon

I have a series that is stationary in the long run. However, in the model development sample - which is a short horizon - the same series is trending. Now, should I consider this series as non-...
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What's the intuition behind re-parameterization in the Dickey-Fuller test?

In text books and lecture slides, people often explain that the normal t-test of, say, the AR(1) parameter in the Dickey-Fuller test does not follow the usual distribution. It also explain that after ...
35 views

DF Test Rejects Non-Stationarity in a seemingly Non-Statioinary Series

Let $Y_t = \rho Y_{t-1} + \epsilon_t$ and $Y_0$ be some constant. I generated a time series data for the above model like this ...
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18 views

ADF augmented dickey fuller test Distribution

In this link It is said that "We can use the usual linear regression approach, except that when the null hypothesis holds the t coefficient doesn’t follow a normal distribution and so we can’t use the ...
55 views

ACF doesnot decay though it has passed ADF stationarity test

I am working on a time series with around 2500 data points. I have used the ADF test to check for the stationarity of the series, the series passed the test and results are shown below But when I ...
20 views

Dickey-Fuller test

I performed the Dickey Fuller test and I got the following results: ...
20 views

What to do in the case when you have trend stationary data?

I am having difficulties to find out what to do in the case when your data is not stationary but trend stationary. I have tested the data using Augmented-Dickey-Fuller Unit Root Test using the code: ...
27 views

ARIMA stabilization process

Initially, before apply arma model stationarity conditions must hold. According to that,time series data must have same variance and mean with normal distribution. If raw data is not normal then box ...
42 views

phi2 interpretation in Dickey-Fuller Test (package urca)

I am testing a time series using ADF test in urca package: summary(ur.df(data, type = "trend", lags = 1, selectlags = "Fixed")) Value of test-statistic is: -9.774 31.8531 47.7796 Critical values ...
20 views

How to transform a non-stationary time series with short spikes to stationary?

I used ADF test to test stationarity: ...
53 views

Dickey-Fuller test interpretation (urca package)

I am having trouble with interpreting the Dickey-Fuller test on a time series using the ur.df() function in the urca package. I already read this thread but still need some advise. The command is: ...
15 views

First or second difference or log for simulated real GDP data?

For a paper I need to use simulated real GDP data to regress this on average income mobility (how much more the next generation earns). As a hint the assignment indicates that the STATA code for a ...
88 views

How many lags to use in ADF test?

So I've ran a ADF test on my data multiple times with different lags and all up to a lag of 4 have a p-value below .05. So in this case how many lags do you decide to use? Could this also provide a ...
46 views

Unit Root Testing

I am having some troubles with the unit root test. The are some concepts that I do not fully understand. Could you please tell me if what I write in the following four passages is correct? I am new to ...
21 views

Super confused about dfuller

I have a rather small dataset and just performed DFuller test for unit root. When testing with zero lags, it contains unit root. When using one lag, it does not contain unit root. However, when ...
64 views

STATA: Demean and Detrend after Dickey-Fuller do not reduce p-value to insignificant levels

Please see below the process I have followed in STATA and help me understand whether I have done it correctly. The issue is that after de-mean-ing and de-trend-ing time-series (after Dickey-Fuller) ...
47 views

Are all non-stationary series random walks?

Are all (non-explosive) time series either stationary around a deterministic trend or random walks? If I run the ADF test and I can't reject the null of non-stationarity does it imply the series is ...
12 views

How Do I Interpret This Table When Testing For A Unit Root?

I'm testing data for unemployment in Poland for the presence of a unit root. I used NumXL (integrated into Excel) to perform an ADF test, which produced the table shown in the picture attached. How ...
29 views

Does stationarity have to be satisfied for a time series regression problem?

I am recently trying to build a time-series regression model to predict for the output flow rate of a reactor given some upstream conditions. The reactor behaves quite cyclically because the ...
53 views

How does one evaluate a null hypothesis of an absolute value of a parameter?

Say I am evaluating a null hypothesis such that H0: |p| = 1 Ha: |p| < 1 And want to understand how this differs in implementation and evaluation from the test: H0: p = 1 Ha: p < 1 Is this ...
57 views

Stationary data, ADF test and interpretation, first difference ,OLS regression?

I am currently working my master's thesis and am studying bitcoin price determinants using OLS regression. My statistics level is quite beginner level. I have gave stationary tests a go however I am ...
64 views

Is detrending equivalent to differencing?

Given a non-stationary time series, there are many statistical tests (e.g. ADF, KPSS, etc.) to test whether the series has unit root or not. Equivalently, they test whether a trending time series has ...
43 views

What is the reasoning for using ADF test with trend or drift?

When people carry out ADF tests they are mostly preparing a time-series for analysis (in an ARIMA, VAR or whatever model). In that case I fail to understand why one would use tests with trend. If ...
19 views

eviews augmented dickey fuller lag selection

Can someone tell me how does eviews calculate teh optimal Schwarz lag selection? I did a quick search this https://en.wikipedia.org/wiki/Bayesian_information_criterion is this the same method that ...
58 views

Why do the Dickey-Fuller test and Lo-MacKinlay Variance Ratio test yield such different outcomes?

It is my belief that a unit root implies a random walk, but not vice versa. Therefore, would one not expect the Dickey-Fuller test to find non-stationarity in the same cases as the Lo-MacKinlay ...
58 views

Q: Implications of autocorrelation in a Dickey-Fuller unit root test

I am conducting a Dickey-Fuller unit root test on the FEDFUNDS series from the FRED database. My estimation period is quarterly from 1955(1) to 2007(4) (taking the average of the monthly rates within ...
41 views

Are trend-stationary series I(0)?

I have time-series of different interest rates. Graphs of all series show existence of trend. For some of these series ADF-test with constant rejects null hypothesis. For others, null hypothesis is ...
65 views

What should I conclude if a Unit Root Test gives contradictory results with & without a trend?

I have a data set for a variable, for which I have run some unit-root tests: ADF (constant/without trend): t-stat=-1.0816, p-val=0.7218 - DNR ADF (constant & trend): t-stat=-4.5203, p-val=0.0021 -...
34 views

In Cointegration, adf test or for VAR models. What makes difference in having trend + Constant, Constant alone, and non

In Cointegration, adf test or for VAR models. What makes difference in having trend + Constant, Constant alone, and non. in below link http://www.econ.uiuc.edu/~econ508/R/e-ta8_R.html It said ...