# 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.

48 questions
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### Intuitive explanation of unit root

How would you explain intuitively what is a unit root, in the context of the unit root test? I'm thinking in ways of explaining much like I've founded in this question. The case with unit root is ...
30k views

### What is the difference between a stationary test and a unit root test?

What is the difference between the Kwiatkowski–Phillips–Schmidt–Shin (KPSS) test and the augmented Dickey-Fuller (ADF) test? Are they testing the same thing? Or do we need to use them in different ...
41k views

### Test for cointegration between two time series using Engle–Granger two-step method

I am seeking to test for cointegration between two time series. Both series have weekly data spanning ~3 years. I am trying to do the Engle-Granger Two Step Method. My order of operations follows. ...
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### How is the augmented Dickey–Fuller test (ADF) table of critical values calculated?

Could you please explain in simple terms how the table of critical values for the augmented Dickey–Fuller (ADF) test is created?
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### 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 ...
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### Heteroscedastic test does not solve the problem

As my previous questions I'm trying to solve a problem with my stocks tests. I tried Breusch-Pagan test for heteroscedasticity but some residuals still pass these tests. My procedure is: Get two ...
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### ACF and PACF for a unit root process

Can someone please tell me how the acf and pacf look like for a unit root process?
2k views

### Best practice for ADF/KPSS unit root testing sequence?

I've been quite confused by the various unit root testing strategies recommended in the literature, so I was hoping others may have some advice on the best way to proceed using ADF and KPSS tests. ...
6k views

### Unit root tests for panel data in R

I have the plm package and would like to run unit root tests on some variables. I get the following error: ...
13k views

### What is the difference between serial correlation and having a unit root?

I may be mixing up my time series and non time series concepts, but what is the difference between a regression model that exhibits serial correlation and a model that exhibits a unit root? In ...
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### About the stationarity of a sine wave

I generated two sine wave time series and want to check the stationarity of them. (1) The first time series is short. kpss.test() thinks it is stationary. ...
17k views

### Fisher-type unit-root test for panel data. Results interpretation in Stata

As part of my master thesis, I'm performing several tests on panel data. One of these is a Fisher-type unit-root test, which works well with an unbalanced panel. I have performed the test, but I ...
811 views

### ADF test for Unit Root, should you select a trend if the trend changes once?

Let's say you have a variable with a time series going back ten years. In the first 5 years, it clearly trends from 5 to 10. And, in the next 5 years, it trends downward from 10 back down to 5. ...
2k views

### ADF test, PP test, KPSS test: Which test to prefer?

If a time series is tested for Unit Root (by ADF, PP, KPSS,...) problem is detected with some tests and not found by others. Which one is preferred? For example if ADF says us that there is a Unit ...
3k views

### Problems with taking the first difference of a stationary series

Suppose you have sufficient observations for running a time-series regression, but you do not have sufficient observations to accurately test for the stationarity of the residuals. If you do take the ...
2k views

### Manual calculation of ARIMA(1,1,0) forecast

I have read the questions about the ARIMA and ARMA prediction here and here, and also here. I'd like to make an one-step ahead ...
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### Interpretation of critical values of KPSS test

I am using the KPSS test from the R urca package. My result is the following: ...
178 views

### Time Series Stationarity

I am confused of why my Dickey-Fuller test is significant (which implies stationarity), while the time series clearly exhibits a deterministic trend?
1k views

### What is an integrated time series?

In this question a commenter says that "differencing a series that is not integrated is certainty problematic from the statistical perspective". What is an integrated time series, and why is ...
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### Unit root test specification with a structural break

I am puzzled as to what specification I should include in my unit root tests of the following data: . I will use ADF, KPSS and ZA tests. I can see there is a break in trend at observation 9. However, ...
953 views

### Structural-break unit-root test

My problem is the following: I have a model forecasting the sales of a certain brand. In period 4 a strike caused the sales to decrease. I want to know whether this strike has caused the sales to ...
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### Which is the best criterion for DF-GLS lag selection?

When you have an output such as this in Stata for dfgls: ...
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### R: Calculating Unit Root for unbalanced data with gaps

I have panel data that I need to calculate a unit-root test on. The data is unbalanced and has gaps. Does anyone know of a library that handles unbalanced panel-data with gaps? I have tried the ...
252 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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### Can a variable that is I(0) also be I(1)?

After applying the ADF test for nonstationarity, I find that for both the test at level and the test at first differences, all my variables are both I(0) and I(1). I.e. the p-value is below 0.05 in ...
418 views

### What do you think of this correlogram?

do you think this weekly data is stationary? Unit-root test indicates rejects null of non-stationary (rejects null of unit root). Thanks for your input. I just wanted to follow up that the ADF test ...
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I am doing the augumented Dickey-Fuller test to check if my series are stationary or not. ...
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### 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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### 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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### 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 ...