# Questions tagged [differencing]

Differencing is a time series transformation used for removing unit roots. It can be simple or seasonal (for seasonal unit roots), first-order or higher-order (for multiple unit roots), also fractional order. Do NOT confuse with tag *differences*

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• 39
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### SARIMA without seasonal differencing

I am trying to forecast daily data with (S)ARIMA, having observations for the last 180 days. STL decomposition clearly shows seasonality and ACF plot shows spikes at 7, 14, 21, etc. days so that I ...
• 59
1 vote
175 views

### 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 ...
• 35
31 views

### Differencing data with missing values?

I have a non-stationary dataset that I would like to model using a VAR model. I need to difference it to make it stationary, however my dataset contains a lot of NaN's at random points, so using ...
• 329
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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 ...
17 views

### Is the correlation coefficient for first differences an estimate of the correlation between the two DGPs in levels?

I think not, because the series in levels is dependent on time and that’s not what we are interested in, but I’m a bit lost here. An additional thought - I know the beta coefficient we get when ...
• 359
165 views

### Order of integration of a time series process

I am having trouble solving the order of integration of a time series process. Consider the following processes: \begin{align*} \epsilon_t &\sim i.i.d.(0,1) \\ x_t &= \alpha x_{t-1}+\epsilon_t ...
329 views

### For purely descriptive purposes, is it okay to run correlations between two non stationary series?

I have been obsessed with trying to conduct an analysis in the “correct” way. I read that no time series analysis should be conducted on non stationary series. I found both my series have a unit root ...
• 359
65 views

### If two first differenced times series are white noise, then what’s the point in finding relationships?

If x’ and y’ are two first differenced time series, I’ve see many analyses where people find a model where y’ is predicted using x’ in some way (lagged or not). If both x’ and y’ are stationary with ...
• 359
1 vote
67 views

### Can I use all estimates in a first differenced regression to apply to levels?

I have a time series y where I took the first differences, y’, and an independent variable x where I also took the first differences to get x’. When I run a regression between y’ and independent ...
• 359
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### Don’t use first differences if you expect lagged effects?

I’m interested in seeing if two first differenced variables are cross correlated with one another (the original data are non stationary, hence I use the first differences which I show with a DF test ...
• 359
146 views

### Problem with ets function diagnostic for model with trend and seasonality

I have been meaning to fit an exponential smoothing model to a monthly series that looks like the one below: When I decompose the series it is almost evident that we have seasonality and also there ...
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### SARIMA: Determining the integration number

i am working with a time series that after calculating the first difference, it remains non-stationary. When plotting the series I see there is some seasonality at half and end of year. I would like ...
• 113
136 views

### What does this autocorrelation plot show?

I'm working with this dataset from Forecasting: Principles and Practice 2nd Edition. I've calculated the 12-month seasonal difference (middle) and the autocorrelation plot (right). The ...
• 133
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### Which of these differenced datasets is stationary?

I'm working with this dataset from Forecasting: Principles and Practice 2nd Edition. It is clearly not stationary due to the seasonal component. I have performed 3-month, 9-month, and 12-month ...
• 133
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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 ...
• 39
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### Differencing data for square root data

Let $Y_t$ follows ARIMA(1,1,1) and $\Delta(Y_t)=Y_t - Y_{t-1}$. If $\Delta(\sqrt{Y_t})=\sqrt{Y_t}-\sqrt{Y_{t-1}}$ then $\sqrt{Y_t}$ follows ?
350 views

### Why difference a time series for forecasting?

From various econometrics/time series analysis/forecasting texts I take that it is common practice to difference time series that have a stochastic trend before modeling them with forecasting models. ...
• 653
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### Using a VAR model to predict stock prices

I ran into an issue while trying to predict stock prices using a Vector Autoregression (VAR) model. After noticing that all the series are non-stationary (see example below): I took first differences ...
32 views

### Differentiating data before exponential smoothing?

I know that to perform exponential smoothing you don't have to make your time series stationary, but I seem to get better results when I do it. Do you know anything about it?
• 81
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### Testing for multicollinearity: use same specification as main model and clustered standard errors or not

When I am trying to check multiple panel data for multicollinearity by regressing one independent variable on another, should I use exactly the same specification as the main model or is an OLS ...