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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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Replicating Dickey Fuller? How did they know something was wrong? [cross posted on QF] [on hold]

I am interested in testing if there is size distortion through simulations. I have recently been interested in replicating Dickey and Fuller (1979) and this source from another post helped a lot, here ...
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Dickey fuller to estimating other biases, intution needed

I have recently been working on replicating the Dickey-Fuller critical values i.e. generating the Dickey-Fuller test distribution. However, I would appreciate some intuition on this and some advice ...
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Stationarity tests

It is generally accepted that ADF is the most common test to check whether a time series has a trend or not. My question is: What if we just regressed the values of the dependend variable on their ...
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stationarity and fractional differencing

This is a methodology question. I would like to make the data stationary but not transform it "too much" (information loss), before it is fit for statistical/ML purposes such as regression or PCA. ...
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Model identification from Eviews Dickey-Fuller test output

So our econometrics professor gave us the following Eviews outputs. First, it asked if it was the right decision to differentiate twice, which, according to what I interpret from the Eviews display, ...
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Eviews : How to test for cointegration in the right way

I am studying ECM alone using a book and some parts are not explained. First, the book advise to test for a unit and for the order of integration of the series. In eviews options are not pretty clear ...
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Unit root in time series of log return of s&p 500. What to do? [closed]

I have 9500 closing prices of s&p500. I took daily return of the prices dailyreturn and then log return of the prices logreturn=log(1+dailyreturn). Now I checked the data using augmented Dickey-...
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How to deal with both stationary and non-stationary time series

I'm a bit frustrated since the time series I am trying to analyse right now has definitely non-stationary curve but it's last values differ greatly from the mean making the time series stationary. ...
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Making a time series stationary by demeaning

Tom's answer https://stats.stackexchange.com/a/7848/49691 to question How to make a time series stationary? highlights that: "If a series exhibits level shifts (ie change in intercept) the ...
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1answer
61 views

Unit Root - Real Interest Rate

I want to find out whether the real interest rate of different countries are non-stationary. The real interest rate is defined as the difference between the nominal interest rate and the inflation ...
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1answer
158 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: ...
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1answer
33 views

Why is Dickey-Fuller test applied on the difference operator and not on the variable directly?

Why is not the Dickey-Fuller test applied directly on : $Y_t = \rho Y_{t-1} + u_t$ instead of : $\Delta Y_t = (\rho-1) Y_{t-1} + u_t$. Many papers apply the Dicker-Fuller on the first difference ...
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Grouping similar time series (clustering, cointegration)

I have a number of time series' that I am effectively trying to understand which are similar and which can be grouped together. I have some idea of what should be grouped with each other but I am also ...
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What are assumptions for the Augmented Dickey Fuller Test?

I am trying to use the Augmented Dickey Fuller test to see if the given time series data are stationary or not. As a dirty/quick method, I did the following: 1) plotted the time series data to see if ...
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ADF test and seasonal series

Hi I'm new in the time series field and so I've different doubts. Considering this dataset https://archive.ics.uci.edu/ml/datasets/Individual+household+electric+power+consumption And considering ...
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Stationarity in presence of an outlier

I am working on a bimonthly data where I have customer the customer's sales amount. I tried to plot the original series in python and the plot ...
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138 views

Interpretation of the ur.df() unit root test in R [closed]

I am a bit puzzled on how to interpret ur.df() function results in R. The test regression should be without drift or linear time ...
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221 views

Discussion of a parameter in the python statsmodels augmented Dickey Fuller test

I would like to use the adfuller test from statsmodels.tsa.stattools, but I'm not sure when to change the parameter ...
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Result of an ADF-Test compared with an estimated AR (p) model

I am currently investigating the inflation persistence for different countries by using R. I took data from the OECD for Sweden (1993-2017) and checked first if the series is stationary with the ur....
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Dickey-Fuller test for ARX models

I can't find any source that mentions whether or not the Dickey-Fuller test (or the augmented one) is suitable for an auto-regressive model with exogenous inputs. Is there any literature source for ...
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71 views

ADF contradiction with ACF

I have a daily price time series. If I plot the series and the ACF looks very non-stationar (Figure below). However the result of ADF says otherwise: ...
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14 views

Generalised superior ADF test misspecification

If I run an GSADF test of Phillips et al. (2015) to identify multiple unit-root periods, what I'm doing is basically hypothesis testing a recursive regression such as the following against the null $...
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Tests for stationarity give contradicting results

I have a time series consisting of 192 data points (12 years of monthly data). A simple plot (in my opinion) clearly indicates that the data are not stationary: However, when I do an ADF test I get a ...
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Unit root tests and correlation coefficients

A linear regression is performed as part of some unit root tests such as ADF, ADF-GLS (ERS), and PP. Should I pay attention to the correlation coefficients (ordinary, adjusted) of the regression? ...
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Contraries in Dickey-Fuller-Tests–which to trust?

I'm comparing Dickey-Fuller-Tests in Stata and in R using the urca package. The results in R seem to be similar to the Dickey-Fuller-Test with defaults in Stata only if I set the type to drift in R: ...
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What does my ACF test tell me about numbers to use in ARMA?

Images I want to use an ARMA model for seasonally adjusted quarterly GDP growth figures and then check for structural breaks. I've run an ACF, PACF, kpss and adf test on the data I have, and you can ...
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1answer
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Different number of observations and testing order of integration [closed]

Suppose I have a time-series in which I know it to be I(1), but I need to model it with fewer observations. And due to the low power of ADF test, fewer observations means testing the series to be I(0)....
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Spurious regression and autocorrelation?

I have calculated portfolio returns, using a zero cost strategy. I have data with monthly returns, that I try to explain with the Capital Asset Pricing Model (CAPM). That is, my dependent variable is ...
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Augmented Dickey-Fuller (ADF) test to test the stationarity of time series

A question in Time Series: We have Augmented Dickey-Fuller (ADF) test to test the stationarity of time series. But it seems that this test behaves weirdly. Even for time series which obviously look ...
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1answer
36 views

Time series Seasonality check

The plot shows that the series has seasonality, but the conclusion of adftest if there is no need to take the difference. In this case, What is the best way to remove the seasonality in the model?
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187 views

Augmented Dickey-Fuller - mismatch between R packages

The Augmented Dickey-Fuller test is used to check whether a series has any detectable trend or drift. It is commonly used as a test of stationarity (the alternative hypothesis). According to ...
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62 views

Dicky Fuller Test - why is it important that the CLT does not apply under assumption of non-stationarity?

I am trying to understand the Dicky-Fuller test (simple case, no augmentation or lags). I can get this far: For $X_t = \alpha + \rho X_{t-1} + \epsilon_t$, $\alpha$ is the drift term, and $\...
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Testing the unit root of a multiple-break series - Is this procedure correct?

The question is generally about what test equation should I use for testing the unit root of a series with two, say, intercept breaks. But I have specific questions. The whole procedure is as ...
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Augmented Dicket Fuller test

My assignment requires working on micro fit, when conducting an ADF test without trend nor constant I got a positive t-ratio, how do i compare it to the t-stat? Does it have to be less or greater ...
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213 views

Augmented Dickey-Fuller test: which specification for my data?

I've a yearly time series variable. My aim is to forecast the variable using ARIMA methods. For this purpose I need to know the order of integration of the series. The data set is provided here. ...
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159 views

The Fisher-type test for panel data, contradictory results

I am performing The Fisher-type test to test for stationarity for a panel data. There are 4 p-values for this test right? the inverse chi-squared (P), inverse-normal (Z), and inverse-logit (L*) and a ...
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Why is the dickey fuller test different from a simple t-test

I am trying to understand why should there be different distribution for t-statistic, in case of AR model, Dickey-Fuller test For e.g. Say, the model is $Y_t = \beta_lY_{t-1} + \varepsilon_{t}$. ...
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Testing stationarity for a time series that may have a periodic deterministic trend

I want to test whether a time series $\{x_1,x_2,\dots,x_t\}$ is stationary (weak stochastic stationarity/WSS). I first want to show that the time series has no deterministic trend and then use an ADF (...
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172 views

Unit root test Unemployment

I want to analyze the unemployment rate in Austria from 1999 to 2017, quaterly data. Here's the code for the time series: ...
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255 views

Dickey-Fuller Test: interpretation of the output

I have some doubts concerning the interpretation of the Dickey-Fuller Test, as the p-value is very high. I assumed the k-value of 12 in the test as the data is monthly and a seasonal effect is clearly ...
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Raw data is I(1) yet is I(0) in logs. Why?

I'm curious how this is possible. The data in question, based on the ADF, we strongly fail to reject the null of a unit root. Yet in natural logs, the series is stationary apparently (ie, reject the ...
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233 views

Counterintuitive Augmented Dickey Fuller test results

I am trying to determine wether the time series data I have is (covariance) stationary or not. This is the hourly data: I proceeded to look at the acf as well as pacf plots in order to determine what ...
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Confusion about stationarity because of contradiction in unit root test and graphical analysis

I am confused about the output of a unit root test I performed. After taking data with a seasonal effect in seasonal differences, the time-plot and the correlogram (shown below) both suggest non-...
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Do I need to use stationary time series data when building linear model with AR error terms?

I have a linear model $y=\beta*x+\epsilon$. However, the error term is modeled as an AR term, where $\epsilon(t)=p*\epsilon(t-1)+w(t)$, $w(t)$ is white noise. Y and X are both time series economic ...
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Dickey fuller test implemented not showing stationarity despite being stationary

I have implemented the dickey duller test without using libraries or tools to understand how exactly the working is. My dataset is airline dataset and have tried using the same in excel to plot and ...
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295 views

Stochastic or Deterministic Trend: Supported by the Augmented Dickey-Fuller Test

Below are the sequential steps/question regarding my problem: I am attempting to specify a VAR model in order to analyze impulse response functions. In plotting my first variable (Figure 1) I ...
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321 views

Should I trust Dickey–Fuller test?

I have a time series of Micex Index volatility and cannot define whether it is stationary or not. On the one hand, Dickey–Fuller test, performed in Python (...
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237 views

Generating the ADF test distribution

I am trying to replicate the distributions for the Dickey-Fuller Unit Root test, but I had no success. I tried reading the original paper (but explains more of the 70's computing than about the ...
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115 views

Is the AR-characteristic polynomial independent of the ARMA equations?

Say that I begin with a time series $X_t$, and say that it satisfies two different ARMA equations: $$\Phi_1(B)X_t=\Theta_1(B)Z_t$$ and also $$\Phi_2(B)X_t=\Theta_2(B)Z_t.$$ Then must $\Phi_1=\Phi_2$? ...