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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ADF & KPSS Test Reporting Series as I(19)

I am currently attempting to determine the order of integration for a nonstationary time series of the Federal Funds Rate (https://fred.stlouisfed.org/series/FEDFUNDS - Monthly, 1990 to 2004, 168 obs.)...
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A time series which doesn't look stationary but pass the ADF (augmented Dicky-Fuller) test [duplicate]

My time series look like this, but it passed the ADF test. Does it make any sense?
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ADF tests: phi2 and phi3 explodes when differencing

ADF tests are used to inform on the order of integration of a time series. With the function ur.df, three different specifications can be used, called "trend&...
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Do monthly sales of a retail shop have a unit-root?

Simple question to understand if by nature monthly sales from a retail shop on the high street are likely to have a unit-root in its timeseries or not?
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Discrepancies in ADF test results

I have several short (n=12) time series on which I am trying to conduct Augmented Dickey-Fuller tests, but I am getting very different/unexpected results: ...
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For checking stationarity for applying Granger Causality Test, should the range of both the time series be same?

I have 2 time series - one is for scores of people in a survey and the other for the sales of a product for 10 distinct countries. The survey data is categorized into 3 categories for each country. So,...
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Can an ADF-test distinguish between stationarity and trend stationarity?

I am learning Time series analysis and I am studying the augmented Dickey Fuller test. My understanding of the null hypotheses is clashing with all the explanations I find online and in books. I refer ...
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Rejection of ADF-test for log returns and AIC selected ARIMA(0,0,0) and ARIMA (0,0,0) with a drift?

I use monthly log returns for some stock portfolios and rejects the null of the ADF-test for both. Hereafter I use AIC to select best fitting models using auto.arima in R. The selected models are ...
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Which version of ADF to use when a trend is suspected?

I have a particular data set where there is strong seasonality, and possibly a trend or non-stationarity. The seasonal decomposition looks as follows: I am a bit confused as to what the order should ...
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ADF test stationary at 10% critical value

I was wondering when you use ADF method for unit root testing, if variables are stationary at 10% level, p-value just over .05. How can one be more confident that it is sationary, could you for ...
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First difference of logs of negative numbers causes trouble

I have the following problem: I have a timeseries with the prices for a few futures, which is non-stationary (according to ADF test). If I apply first difference of logs, ADF shows stationarity. But I ...
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Differencing, taking logs or squaring does not fix nonstationarity. What to do?

I want to test for correlation in a time series model. However, all four independent variables and the dependent variable are non-stationary. I tried taking first, second and third differences but my ...
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ADF (augmented Dickey-Fuller) in JavaScript without a library

ADF (Augmented Dickey-Fuller) test to check if an asset price is stationary or non-stationary using pure JavaScript without any library.
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Stationarity in an interrupted time series

I am using proc autoreg in SAS to conduct an ITS analysis and I have a question about stationarity. Proc autoreg is able to ...
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Unit root test on growth variable?

When constructing an ADF unit root test, is it Ok that input data is a growth variable? I was thinking about when you compute growth rate $\left(\frac{Y_t - Y_{t-1}}{Y_{t-1}}\right)$ and when ...
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Augmented Dickey–Fuller test, Test Model

I don't understand how we obtain the model that we test for a unit root in the ADF test. Let me explain better. ADF test is used to test if a time series has a unit-root. We assume that the Data ...
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How to deal with the fact that almost all univariate time series models have autocorrelated correlated residuals?

When studying the relationship between multiple time series often the first step is to determine stationarity of the individual time series. Given one of the time series, one can check for ...
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ADF Interpretation

below is my ADF test for regression residuals. I use alpha=5% My interpretation is : my residuals are non-stationary as my model does not take into account the 4 lags suggested by ADF. In other words, ...
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Trying to understand stationary series: How is this TS stationary?

I'm studying the cointegration of the prices of 2 assets. The time series that you see here is the first integration of the log prices of these assets. If I only look at the graph I would say that the ...
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How to properly interpret stationarity for time series data? [duplicate]

I'm running a time series analysis (i'm new to time series analyses) is R and first wanted to check for auto correlation in my data. However, I ran two tests that seem to give different results. I ...
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ADF test in R and Gretl - Why are the results different?

I am working on a time series-based study on the Czech Republic. I have macroeconomic data from 1993 to 2021. I tested my time series for stationarity using both R (function ...
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ADF-test. Contrary results at different lag lengths

I have a time series of weekly household electricity consumption, which I'm using as the dependent variable in an ECM. An Augmented Dickey Fuller (ADF) test reveals that the variable (LNO1_Con) has a ...
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Johansen Cointegration Test returns non-stationary error even though trace statistics suggest their existence

Before I start, I asked this question on Quant Finance before. But other Questions going into the same direction have been redirected to this stack exchange. Therefore I post this here as well. I'm ...
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Does cyclostationarity imply that a time series could appear non-stationary at certain timeframe, but stationary at different timeframe?

I am working with a dataset that has some clear cyclic patterns (daily, weekly, etc). When I perform the adfuller test on relatively small timeframes (e.g. a week, a month, up to about 3 months), the ...
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Johansen Cointegration test in Python (statsmodels)

I have three time series df['a'], df['b'] and df['c'] which I want to test for cointegration ...
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Python statmodel coint doesn't give the same p-value as adfuller on OLS residual

According to Eagle and Granger (1987), if I have 2 time series y1 and y2, we can test their cointegration with the p-value of an ADF stationarity test performed on the OLS residual. Though, when ...
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In Panel Data models, could we apply, the existing Unit Root tests (e.g. IPS) to the residuals in order to test for cointegration?

The Engle Granger approach suggests that we check the regression residuals stationarity with ADF test and if the residuals are stationary, even if not all other model variables are, we can say there ...
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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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Is it possible to achieve stationarity with the following time series data?

Though I have worked with data modeling for years now I have never used any form of time series data. I currently am working on a project to forecast out some data and have learned about ARIMA and the ...
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Why are tsplot and ADF test results inconsistent?

I have airline time series. Here is the tsplot The data clearly seems non-stationary to me. However, ADF test produces a p value of 0.01, indicating that the data is stationary. Any idea why?
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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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Understanding Dickey-Fuller-Result

I am currently looking into the dickey-fuller test but seem to not understand something fundamental. To understand the test better, I created 4 time series: cons, lin, r1 and r2. How these are ...
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Is the Dickey Fuller test one-sided or two-sided?

The Dickey Fuller test tests whether a unit root is present in an AR model. Specifically, we have $$ X_t = \phi X_{t-1} + \varepsilon_t $$ where $\varepsilon_t$ is a Gaussian noise term. Now the ...
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Deriving ADF unit root test form for the time series with quadratic deterministic trend

I have the following time series process $y_t $ $$\Delta y_t = \delta + \gamma t + \epsilon_t$$ where $e_t$ is white noise process with the variance of $\sigma^2$. I guess that whereas $\Delta y_t$ is ...
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Stationary time series with drift

I have a question regarding the ADF test. I ran a ADF test with drift with the urca library in R. The result implies a stationary series with drift, which is not ...
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Applying the Engle-Granger and the Johansen test to univariate multiple regression

I have want to test the cointegration of interest rates in three time series: a group of small open economies, US, and Erozone. I use daily data, and assume that the small open economy has no impact ...
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Dickey Fuller Test for Stationarity

I have a data with 4 columns, all has clear downward trend from 2020 to 2022. Except second column dickey fuller declare them stationary data.I believe due to clear trend all columns are non ...
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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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Non-stationary time-series on visual analysis passes all Stationarity tests?

I have a time-series data (Fig 1) that clearly look non-stationary on visual analysis. There is a clear trend and seasonality in the time series as shown in the Final figure below. But the ADF test ...
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Can a timeseries with a clear trend be considered stationary?

I performed a augmented Dickey-Fuller test on a timeseries (that clearly has a trend) and, from the results, it suggests it is stationary (p-value = 0.01). Is this possible? ...
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Order of integration for a time series with constant mean and increasing variance

I am trying to find the order of integration of a time series. I checked for stationarity using the ADF and KPSS tests. Both the tests indicated non-stationarity, so I differenced the series once and ...
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Why does the order of the pair of series passed to a cointegration test matter?

Update 2022-07-13 My question could be rephrased as Why do I get a different result for cointegration test when I swap the independent and dependent variables? The link leads you to a thread on this ...
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Cointegration between 2 Stocks. - confirming Times Series Stationarity using ADF & KPSS Test

I had created a google sheet with the help of online resources, - to conduct cointegration test on 2 stocks time series. It checks null hypothesis, to see that a unit root is present on the residual ...
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determine if series is non-stationary or stationery

I have series and I need to determine if the series is stationary or non-stationary. According to this web page Link, is prefer to use the ADF and KPSS and then judge on the series. My result of ADF ...
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Should I difference my data before run a ADF test?

I plot my data as shown in the following screenshot: Clearly the series contains a trend. A first order difference of my data will eliminate the trend, which I plot as follows: Now I would like to ...
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How powerful is cointegration test?

I am performing Engle-Granger cointegration test on my data as below ...
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statsmodels.adfuller weird behaviour of usedlag value

I'm learning about time-series analysis and have two series on which I'm performing an Augmented Dickey-Fuller test in order to check for stationarity. I'm trying to understand why I get very ...
picklepick's user avatar
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Why ADF test indicates non stationarity but auto_arima selects I argument as 0?

I have a timeseries dataset with 1 min frequency and have modeled it with ARIMA for forecasting purpose. Before modeling, I ran Augmented Dickey Fuller test and the result is: ...
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Augmented Dickey-Fuller test says its stationary, but it doesn't look like so (IMHO)

This is my TS: As I apply the adf.test(myts), see below the result: ...
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Cointegration test; model with different number of explanatory variables

I have run an ADF test on the residuals of an ARDL and a DOLS model to test for cointegration. I have 3 explanatory variables and 1 response variable. When I run the ADF test on the residuals on both ...
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