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Results tagged with augmented-dickey-fuller
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user 116230
A test of the [null] hypothesis that a time series has a unit root (ie, that it is non-stationary).
3
votes
0
answers
281
views
ADF test on simulated stationary AR(1) processes fails to reject
I have series of logarithmic prices which seems to be mean reverting (adf.test from the "tseries" package in R gives -3.6 value).
Based on that I create an AR(1) process
$$y_t=y_{t-1} + \mu + \lambd …
- 305
9
votes
1
answer
8k
views
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?
- 305