Results 1 to 1 of 1

Thread: Non-stationary time series

  1. #1
    May 2009

    Non-stationary time series

    Dear all,

    I have a series which is clearly trending. It looks to be stationary around a linear deterministic trend and shocks does seem only to affect the series temporarily.

    So my guess is that this is a trend stationary series - i.e stationary about a deterministic trend. However, it could have a stochastic trend (unit root) as well.

    I am asked to test the hypothesis of the series beeing non-stationary against the alternative hypothesis:
    1) the series being stationary
    2) the series being stationary around a trend

    I am also asked to coment on the results.

    My question is how to formally test for this.
    Could I run an ADF test on the series specified first including a trend term and then without a trend term and conclude from that?

    And how do you normally decide how to set up the ADF regression? I mean no. of lags, deterministic terms and so on.

    Thank you very much for your help on this matter. I feel stuck reading for an exam.

    Last edited by ChrisZ; May 25th 2009 at 08:35 AM.
    Follow Math Help Forum on Facebook and Google+

Similar Math Help Forum Discussions

  1. Time Series
    Posted in the Advanced Statistics Forum
    Replies: 1
    Last Post: May 21st 2011, 11:17 AM
  2. Time Series weakly stationary
    Posted in the Advanced Math Topics Forum
    Replies: 0
    Last Post: Oct 18th 2010, 06:39 AM
  3. Stationary process of time series
    Posted in the Advanced Statistics Forum
    Replies: 0
    Last Post: May 15th 2010, 02:57 AM
  4. Replies: 0
    Last Post: Mar 17th 2010, 12:49 PM
  5. Help with Time series
    Posted in the Advanced Statistics Forum
    Replies: 7
    Last Post: Mar 11th 2007, 12:49 PM

Search Tags

/mathhelpforum @mathhelpforum