The Stack Overflow podcast is back! Listen to an interview with our new CEO.

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).

Filter by
Sorted by
Tagged with
0
votes
0answers
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 ...
0
votes
0answers
16 views

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? ...
1
vote
1answer
39 views

Statsmodel ADF interpretation

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 ...
1
vote
0answers
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?
3
votes
1answer
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-...
1
vote
0answers
8 views

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 ...
1
vote
1answer
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 ...
0
votes
0answers
8 views

Detailed calculation of using Augmented Dickey Fuller test in AutoRegressive Model

In the wiki page of ADF test, its testing procedure is applied to the model $$\Delta y_t = \alpha+\beta t+\gamma y_{t-1} + \delta_1 \Delta y_{t-1} + \dots + \delta_{p-1} \Delta y_{t-p+1} + \epsilon_t$...
0
votes
1answer
15 views

Rationale of Augmented Dickey Fuller Test on lag difference

In the wiki page of ADF test, its testing procedure is applied to the model $$\Delta y_t = \alpha+\beta t+\gamma y_{t-1} + \delta_1 \Delta y_{t-1} + \dots + \delta_{p-1} \Delta y_{t-p+1} + \epsilon_t$...
1
vote
0answers
19 views

Multivariate stationarity/cointegration test

Am I right to say that for multivariate time series, we can't use normal stationary test like Dickey–Fuller test and we need to use cointegration Test like Johansen? Or this is not true in general?
0
votes
1answer
19 views

According to this table, can I say my variables are integrated of order 1?

I tested my variables in ADF unit root test , can I say they all integrated in order of 1?
1
vote
1answer
69 views

How to interpret the the results of augmented Dickey-Fuller test to make conclusions about the order of integration

I am following Pfaff 2011 chapter 3 and 5.1 to find the order of integration of a time series $y_t$ by augmented Dickey-Fuller (ADF). Basically what we do here is testing whether $y$ has a unit root ...
0
votes
0answers
12 views

Cointegration, Error Correction, and ADF test with lags

I am fitting an error correction model (ECM) of two I(1) variables. I'm following the Engle-Granger approach of first finding the cointegrating relationship. So first, I regress one series against the ...
1
vote
0answers
34 views

Is my interpretation of ADF and KPSS correct?

I am new to time series analysis, and I am trying to interpret the ADF and KPSS results. Is my interpretation of stationary correct? ...
0
votes
0answers
30 views

Augmented dickey fuller test

Why augmented dickey fuller test gives me less p-value i.e. less than 0.05 despite of having seasonality my data. My data's plot: Code for adf test : from pandas import Series from statsmodels.tsa....
0
votes
1answer
18 views

How many lags to use for ADF test if several values reject null hypothesis?

I'm still a novice with time series so I'm sorry if this is a little basic.When performing an Augmented Dickey Fuller test on my data I found that lag values from 1-4 all lead me to reject the null ...
1
vote
2answers
102 views

Is my Data stationary? KPSS, ADF Tests and ACF

I already differenced my Data by 1 and i am not sure whether my Data is now stationary or not. I perfomed an KPSS and ADF test in order to help me decide if it is. I think it is stationary but im not ...
0
votes
0answers
30 views

R: Interpretation of p-value in urca Dickey-Fuller test?

I'm checking my variables for stationarity and can't figure out how to interpret the p-value listed in the output of the Dickey-Fuller test from the urca package. ...
1
vote
0answers
12 views

Augmented Dickey-Full Test Standard Error

I am currently reading Introduction to Time Series and Forecasting (Brockwell & Davis 2016) and am struggling to understand the following (pg 170 for those with the book). The unit root test for ...
0
votes
1answer
23 views

How to interpret Dickey-Fuller Results

I want to prove that my data is non-stationary at level, but stationary after first differencing. I am trying to do this with the ur.df() function in R, but I am a ...
0
votes
1answer
47 views

How to use the Phillips-Perron and Dickey-Fuller unit root test to test for AR(1) or Ornstein-Uhlenbeck process

My question comes from this paper (p. 10), where the authors say: The $\ln(\hat{p_t}) - \ln(p_t) \sim AR(1)$ condition expresses that the LPPLS fitting residuals can be modeled by a mean-reversal ...
0
votes
0answers
16 views

Does ADF test in python include F test in trend and constant?

I want to know if the time series without a unit root contains a time or a quadratic form of time. $\Delta y_t=\alpha+\beta t+\gamma y_{t-1}+\sum_{j=1}^{k}\delta_j\Delta y_{t-j}+\epsilon_t$ I would ...
0
votes
0answers
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 ...
0
votes
2answers
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 ...
1
vote
0answers
20 views

Dickey-Fuller test

I performed the Dickey Fuller test and I got the following results: ...
0
votes
0answers
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: ...
1
vote
0answers
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 ...
1
vote
1answer
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 ...
0
votes
0answers
20 views
0
votes
0answers
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: ...
1
vote
0answers
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 ...
2
votes
0answers
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 ...
1
vote
0answers
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 ...
0
votes
0answers
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 ...
0
votes
0answers
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) ...
0
votes
1answer
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 ...
0
votes
0answers
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 ...
2
votes
0answers
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 ...
1
vote
0answers
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 ...
0
votes
0answers
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 ...
1
vote
0answers
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 ...
0
votes
0answers
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 ...
0
votes
0answers
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 ...
1
vote
1answer
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 ...
1
vote
1answer
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 ...
0
votes
1answer
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 ...
0
votes
1answer
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 -...
1
vote
0answers
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 ...
0
votes
0answers
25 views

Stationarity test for autocorrelation

can we use unit root test of residual to detect autocorrelation in a time series model? Are stationarity of the residual means there is no autocorrelation?
1
vote
0answers
17 views

Are there phi2 phi3 statistics for the DF-GLS unit root test?

It's known that there are phi 2 and phi 3 statistics when performing ADF unit root tests. These statistics tell us the correct specification of the model (Trend, constant, or none). When running ADF ...