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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How to obtain residuals of ADF test in R? [closed]

I was running an ADF test for normality in R and want to check whether residuals are corelated or not. How to extract the residuals of the ADF test in R?
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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 ...
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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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What happens if one of my series in the VAR is not stationary?

I have a VAR model that comprehends 6 series. Only one of them is non-stationary even after taking the 1st difference. Do I need to take the 2nd difference? My concern is to approximate too much the ...
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How to get around the weaknesses of stationarity tests like ADF test?

I have a large search space of ~600 time series, where I am constantly scanning for stationarity (I have a "rolling window" for all the time series where I run a stationarity test at every ...
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Warning Augmented Dickey Fuller test

I am testing stationarity in data and I got warning in the Dickey-Fuller test about p-values which is following: p-value smaller than printed p-value. First I plot the data in the graph: Then I ...
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How to visually interpret Augmented Dickey-Fuller test results between two time series?

Time-series #1 and #2 are daily reported disease cases in the Central vs. Southern regions, respectively. The p-values from the Augmented Dickey-Fuller test is less than 5% for #1 and more than 5% for ...
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How is this series possibly stationary (by ADF Test)? [duplicate]

Here is an attached image of a time series that I am testing for stationarity using the Augmented Dickey-Fuller test. Here is the command I ran in R: ...
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Stationary in levels I(0), three variables -- cointegration test?

After running ADF-tests and kpss-test I find that the variables are stationary without drift and trend. I have two questions: Is it the correct use of terminology to say that they are not integrated, ...
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What to do when kpss contradicts ADF?

I'm testing to see if Inflation has a unit root and if it has a drift and trend, just drift or no drift and trend. My results from the ADF test looks like this: ...
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Current best practices for detecting Unit Root in time series data?

I'm trying to get an overview of what are the current best practices for detecting unit roots in time series data. The main approach I came across is the Augmented Dickey Fuller (ADF) test, which ...
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Panel-data unit-root tests (xtunitroot vs. dfuller)

I have 120 IDs. For each ID I have hourly data (90 hours per ID). My data is perfectly balanced. I run xtunitroot tests and all the different versions (llc, ips, demean, trend, lags etc.) and I ...
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How do I find my coefficient for AR(1)

I've been working on trying to create an AR model for the unemployment rate in the USA. I started with de-trending etc to make my data stationary, then tested with a dickey fuller test to make sure ...
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Backshift operator in Dickey Fuller

Why does a backshift operator being equal to 1 mean that the data is non-stationary, shouldn't it be the coefficients or the phi 1 2 and 3 in this case? Why does phi1 + phi2 + phi3 = 1 mean that ...
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What are we actually testing in the Augmented Dickey fuller test?

I have been trying to understand the Augmented Dickey-Fuller test and have watched many lectures and videos about it, and I would say the video from ritvikmath is the clearest one. He says that to ...
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How to analyze data before building a timeseries forecasting model?

I want to build a timeseries forecasting model which uses LSTM layers, I want to know what analysis we have to do prior to fitting the model? My data is recorded every 20 minutes, I performed Dickey ...
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How is my data stationary?

I did a quick Dickey-Fuller test, to test whether my time series is stationary, and the result gives a P value of 9.6*10^-15, or in other words stationary. How is this possible, my data clearly doesn'...
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Ur.df interpretation

I have been working on and reading about the ur.df test in R, so I know what the tests mean, what the hypotheses are and how to read the critical values. (For ...
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Simulation about ADF test

I want to get ADF table critical values. However, the critical values I get are between -8 and -10. Where am I doing wrong? ...
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Understanding Output of ur.df Test: What Do the z.diff.lag# Indicate?

When reading the output of summary(ur.df(ts)) in R, what do the z.diff.lag# coefficients indicate? Are they error terms for “at” ...
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Time series rejects the null hypothesis for ADF test with drift no trend. Is the time series stationary? Must I differentiate?

TL;DR: My time series passes a ADF test with drift no trend. So, should I leave my data alone and proceed? Or do still need to differentiate it before modelling, because it has drift? Or have I made ...
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Fail to decompose and make stationary time series

I am looking for some suggestions for my time series. I am dealing with the column "Temperature (C)" from this dataset. I am trying to make it stationary in order to do some forecasting on ...
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How to interpret results of a Dickey-Fuller test?

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What can and can’t you say about a series with a unit root as evidenced by an ADF test? [duplicate]

I have a time series with 500+ observations which has a unit root, as evidenced by an ADF test at the sub 1% significance level. I want to explain to my class mates why that’s important and change the ...
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Can there exist a unit root series that’s Granger-caused, or better predicted with a model other than the AR process we tested using ADF?

If a series has a unit root, then it is a function of random white noise. Therefore, it follows a random walk process. Is it then possible for: Some other series to Granger-cause the unit root series?...
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ADF test estimates -0.01 delta, but the p-values are less than 0.05

I am dealing with two datasets of Annual growth Production Cost, and Annual growth Inflation. A lot of problems have arisen, but the most annoying one is referred to integration. At first sight, both ...
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Removing trend and seasonality does not seem to result in a stationary time series?

I have some sales data, that I want to do time series analysis on. On the plot there are clear trend and seasonality visible. To test whether a series is stationary I have created a function that ...
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ADF test with large time series dataset (over 1m rows) python

I am currently working on two stock price data. The dataset has over 1m rows, consisting of a minute wise change for 2 years. To check if the two stock price change movements are related, I want to ...
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ADF test suggesting incorrectly that series is stationary

The code below generates series y, which by design is clearly non-stationary. The ADF test below was run with 12 lags to yield (what visually appear to be) uncorrelated residuals and it would have us ...
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How to test for stationarity of a time series once a linear term is removed?

I see several methods to test if a time series is stationary. https://www.analyticsvidhya.com/blog/2021/06/statistical-tests-to-check-stationarity-in-time-series-part-1/ When a time series is not ...
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R Packages urca and aTSA yielding different values of the test statistic

I am testing for the cointegration of 2 series in 2 ways: 1) by obtaining the residuals from the regression of one on the other and conducting an ADF test on the residuals (using package urca); and 2) ...
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Panel Data Regression, ADF Stationarity Test in R

I am conducting a fixed effects regression with balanced quarterly paneldata. plm(MOD.WITHIN, data=pdata, model = "within", effect= "individual")...
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Time Series Structural Break and ADF Test

i have a time series variable which i checked it for stationarity using ADF test and arima proc in SAS proc arima data=&td19; identify var=interest_rate stationarity=(adf=4); run; quit; Below is ...
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testing for stationarity with in the presence of structural breaks

I am in the search for structural breaks in a time series (price). I used a recent stata command that implements the Bai-Perron approach (command xtbreak), and found some breaks, which was expected. ...
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unit root tests in R: same test different results

I have to test if a time series is stationary and to this end I have performed some unit root tests. I tried different functions, here the results. ...
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About split time series and test stationarity

I am working on a project as followed: given a time series of a stock, (1) use Discrete Time Fourier Transform to find the cycle of this time series with the highest amplitude, (2) split the time ...
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Random walk analysis of a univariate timeseries

As the title describes, I want to conduct a random walk analysis of a univariate time series $Y_t$. What are the tests and steps that you guys would suggest for this purpose? My current thinking: ...
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Augmented Dickey Fuller test, determining the number of lags used

In a paper by Mark P. Taylor he conducts ADF tests on exchange rates and he describes the determination of lag number with "The number of lagged dependents that we need to include to induce ...
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Supply Chain Spike Order Statistics

I work in supply chain. I am trying to identify orders that could be classified as spikes. I need to do this across many thousands of different products, each with vary different demand/order patterns....
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ADF Test and KPSS Test contradicting, differencing wont make the time series stationary

My time series is on Life expectancy at birth from 1960 to 2018. Obviously, it has an increasing trend and ACF also supports this because the ACF values dampen so slowly. However, ADF test p-value is ...
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How to interpret the output of ur.df() function in R when using type = "trend"?

When I use ur.df() function without specifying the type, it gives me just one value, Dickey Fuller statistic, with null hypothesis, being that phi = 1+b = 1 => b = 0. That is, delta(yi) is ...
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Question on Adfuller test results variation

I have a series on which I am trying to run linear regressions and determine the stationarity. The test for stationarity changes from being stationary to non-stationary when I move the window to the ...
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Which is the original source for the Augmented Dickey Fuller test?

Which paper first introduces the Augmented Dickey Fuller (ADF) test? Wikipedia does not mention any particular citations this paper (#1 on google scholar when searching for the test) does not ...
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Stationarity test for count data time series

can someone give me an overview of stationarity test for time series of count data? For instance, I would like to know if there exists a test similar to the Augmented Dickey Fuller or how this test ...
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Augmented Dickey-Fuller test null rejected. AR(1) in ARCH(1) p-value of 0.000

I am trying to model the logged returns of 5 different markets. When running the the Augmented Dickey-Fuller (ADF) tests on the logged market returns, the p-value is 0.000 for all markets regardless ...
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Normality of tau-statistics ($\tau_{\mu}$ and $\tau_{\tau}$) in presence of unit roots

The original Dickey-Fuller (1979) paper, considers three regressions ($(1.1), (2.1)$ and $(2.2)$) but only two DGP ($1.1$ and $2.1$), while deriving the limiting distributions. The paper defines three ...
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Difference between Dickey-Fuller test and testing for linearity

The Dickey-Fuller test tests an AR(1) series for stationarity. An AR(1) series can be written as: $x_t = \phi x_{t-1} + \epsilon_t $ with $\phi$ constant and $\epsilon_t $ white noise. The series is ...
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Do more general specifications of Dickey Fuller lead to bias if true model is more parsimonious?

When I was studying econometrics I was taught that whenever in doubt it is always better to run more general specification both in terms of including drift term or trend term and including lags, as ...
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