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Results tagged with augmented-dickey-fuller
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user 247419
A test of the [null] hypothesis that a time series has a unit root (ie, that it is non-stationary).
3
votes
1
answer
12k
views
How many lags to use for ADF test if several values reject null hypothesis?
I'm still a novice with time series so I'm sorry if this is a little basic.When performing an Augmented Dickey Fuller test on my data I found that lag values from 1-4 all lead me to reject the null hy …
- 475
2
votes
0
answers
190
views
How many lags to use in ADF test?
So I've ran a ADF test on my data multiple times with different lags and all up to a lag of 4 have a p-value below .05. So in this case how many lags do you decide to use? Could this also provide a cl …
- 475