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Questions tagged [unit-root]

A unit root is a property of a non-stationary time series which can lead to spurious regressions and wrong inference.

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2
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1answer
319 views

Vector error correction model and trending series

I am struggling with VECM pretests. I have conducted correlogram and it shows that all of my variables are nonstationary, except the log of adjusted GDP. So I decide to double check and conduct ADF ...
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1answer
403 views

Number of lags for a unit root test

I have some panel data and am suspicious of presence of unit root. As the dataset is unbalanced, I would like to use the xtunitroot fisher command in Stata. Is ...
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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 ...
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0answers
11 views

Consequences of fitting Unit Root data directly in AR model

I feel it is useful to understand the consequence of violating the assumptions of a model. I check a couple textbooks, but most I can get about the consequence of fitting time series with unit root is ...
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0answers
28 views

OLS Time series regression with levels and first differences

I am currently working on my bachelors thesis and I am trying to perform an OLS time-series regression with the short-term interest rate as dependent and inflation expectations and an output-gap as ...
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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
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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-...
2
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0answers
491 views

Do the dependent variable in a ARDL model have to be I(1) or can it be I(0)?

I`m trying to make a ARDL model and have 6 variables were the dependent variable are I(0), stationary at level, with 6 lags and the 5 remaining independent variables are I(1), stationary at first ...
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0answers
15 views

Unit-root and Johansen- lack of normal distribution

I have a question concerning unit-root data and normal distribution. As an assignment, I am checking the long-term relationship between unemployment rates and labor force participation rate. First I ...
1
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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 ...
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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$...
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3answers
790 views

Unit root tests ambiguous - is time series stationary?

I am testing a time series (quarterly) for stationarity. However, using the KPSS test, the ADF test and PP test, I get different results (ADF and PP reject non-stationarity, KPSS rejects stationarity, ...
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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$...
0
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1answer
152 views

Differencing variables with unit roots

I want to regress my dependent variable on my independent variables in R. First for the level of the variables: lm(y~x+z+u). Now since my variables are non-...
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0answers
12 views

I want to use VECM, does that mean all my variables should be stationary in the first difference at trend and intercept?

All my variables are I(1) using none, and intercept models, but not stationary using trend and intercept models. Not sure if I can use these variables in VECM?
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0answers
7 views

When should one use breakpoint unit root test, e.g. Zivot-andrew unit root test

I have conducted the ADF unit root test, all my variables are I(1) in all the three models: intercept, trend and intercept, and none. But my reviewer suggested me to include a structural break unit ...
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0answers
22 views

KPSS test thinks that regression is spurious

It should be obvious that there is a relationship between the market price of black pepper and the market price of white pepper. ...
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0answers
17 views

Detecting spurious regression by testing the residuals

A linear regression between "Number of Australian Air Passengers" and "Rice Production in Guinea" reveals a "strong" but probably spurious relationship between the two time series. ...
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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?
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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 ...
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5answers
35k views

Interpreting R's ur.df (Dickey-Fuller unit root test) results

I am running the following unit root test (Dickey-Fuller) on a time series using the ur.df() function in the urca package. The ...
4
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0answers
771 views

What is the intuition for testing seasonal difference with OCSB test and its correct application?

I have daily time series data of a shop's revenue. Now I would like to test for seasonal differencing with the OCSB test originally intrduced in (Osborn et al. (1988): Seasonality and the Order of ...
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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. ...
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0answers
7 views

Testing for weak-form efficiency - are unit root tests redundant after autocorrelation test?

I am testing the variability of the market efficiency over the time and one of the methods I'm using is a quite simple estimation of correlation coefficients and their significance for different lags (...
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0answers
21 views

Unstable panel VAR / PVAR

Quick question on PVARs. I am using Stata's user-written pvar package. After running the unit root tests using xtunitroot, I ...
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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 ...
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3answers
10k views

Contradictory results of ADF and KPSS unit root tests

To check whether the data is stationary or not, I computed KPSS and ADF test and got the following results ...
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0answers
24 views

How to apply VAR model for a I(1) and other I(0) variable? Objective is to forecast [duplicate]

I am modeling liquidity variable, real money growth with real asset price returns. The former is I(1) and the latter is I(0). The objective is to see the predictive power and forecast. However, can we ...
2
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1answer
315 views

Half life (Dickey-Fuller)

If I estimate the regression $$y_t=\alpha+\rho y_{t-1}+\varepsilon_t$$ the half life of this process for $\rho\neq 1$ is $\text{ln}(0.5)/\text{ln}(\rho)$. If I instead estimate the Dickey-Fuller ...
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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 ...
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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: ...
2
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1answer
686 views

Augmented Dickey-Fuller test - showing residuals are serially uncorrelated

I ran an Augmented Dicket-Fuller test to see if there was a unit root present in my time series. I would know like to show that the residuals from the test regression are serially uncorrelated. In the ...
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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 ...
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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 ...
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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 ...
4
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1answer
1k views

Is a trend-stationary variable I(1) or I(0)?

I am trying to do cointegration analysis between two variables. I first used the standard Dickey-Fuller and Phillips-Perron tests; they concluded my variables were I(1). I then did cointegration and ...
1
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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 ...
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0answers
89 views

Are explosive ARMA(1, 1) processes stationary?

I was reviewing time series textbooks recently and have been left confused since. In particular I have looked into the book of Brockwell and Davis (Introduction to Time Series and Forecasting, Second ...
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1answer
197 views

Roots within the unit circle and non-stationarity

I am quite new to time series analysis and I am delving for the first time into stationary processes. I don't seem to understand the concepts of non-stationarity and the presence of roots within the ...
0
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0answers
36 views

Error Correction Model (ECM) procedure

I am getting familiar with ECM so I would like to ask for help in order to understand it. My goal is: performing a ECM in a multivariate context. I was reading ECM is part of a Cointegration analisis....
1
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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 ...
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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
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0answers
17 views

Testing for (covariance) stationarity specifically (vs. testing for dependence)

I'm using Wooldridge's textbook as my guide for a time-series cross-sectional project. Wooldridge, unlike many, distinguishes between (covariance) stationarity and weak dependence. He says that both ...
1
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1answer
242 views

Testing for unit roots

I am an absolute beginner and I need help on testing for unit-roots in Stata. As the data is unbalanced (no missing values, but some time series begin later than others) it seems to me that I could ...
0
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2answers
34 views

Time series has unit root iff integrated of order 1

The wikipedia page for Unit Root says something like "..the stochastic process has a unit root or, alternatively, is integrated of order one..". Are these actually equivalent? Could someone point me ...
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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 -...
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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 ...
2
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1answer
904 views

Granger Causality test pre-conditions

I am trying to analyse the causation between individual stock returns and index returns. I have taken the log return values of both stock and index values. Unit root test suggest that the values are ...
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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?