# stationarity

1. ### Time Series regresison - issues with Stationarity/Residuals

We set up an OLS model about 6 months ago, using time series data (both the dependent and independent variables are Monthly data). The model has 2 independent continuous time series and 2 other (categorical and numeric) variables. Initially, we did not think it necessary to specifically conduct...
2. ### Stationary data first after the 2-order/3-order difference on LN(variable)

I want to make an Linear Regression. Dependent variable: GDP Independent variables: Net exports and Debt and some control variables All variables are seasonal and calendar adjusted. The aim it to see the effects of Next export and Debt on GDP for different european countries. I will make...
3. ### Stationarity of time series and VAR model

Hello, I have two variables, one is stationary I(0) and one is non-stationary I(1). Is it possible to make VAR model for these two variables if the non-stationary variable will be differenced to obtain stationary process I(0)? Thank you for any responses.
4. ### Interpreting ADF Test result

I have imported csv into R.CSV has 530 rows and one column.I tested it with 3 stationary tests and I got 3 different results. 1) > sapply(mydata,ur.df) \$X765 ############################################################### # Augmented Dickey-Fuller Test Unit Root / Cointegration Test #...
5. ### rollapply with Arima model: testing for stability of coefficients

Hi everyone, I am trying to fit an arima model on a rolling window using rollapply.My aim is to plot a graph of the evolution of the coefficient, plot the error and the standard deviation. well i encountered the following problems: 1) each window in the roll apply have different set of...
6. ### Problem - stationarity and relevance

Hi all, I am doing my Bachelor's thesis at the moment and I ran into a problem I was hoping you could help me out with. While running my data (in Eviews) I had relevant variables. However, when turning to a unit root test, it turned out I had a unit root problem (non stationarity, random...
7. ### interpretation for %DFTEST results

Hello, I need to interpret the results of this macro %DFTEST: proc print data=sashelp.air;run; %dftest(sashelp.air, air, ar=1, dif=(1), trend=1, outstat=delete); proc print data=delete; run; I created this example to demonstrate this problem I am trying to resolve. I need to find out...
8. ### Stationarity vs. iid

Hi all, I came across a statement about iid and stationarity which says that it is unrealistic to assume stock returns to be i.i.d but rather strict stationary. Can someone explain to me what the difference is? Strict stationary means that the returns at time t, t+1, ..., t+n are equally...
9. ### Autocovariance Function

Hey there! I have a question relating to Applied Time Series that I'm having a bit of trouble with. For all parts of this question, let Z_t; t \geq 0 be a sequence of independent normal variables with mean 0 and variance \sigma^2 , and let a, b and c be constants. For the series...
10. ### Trend Stationarity vs. Level Stationarity

Can s.b. explains the difference between Trend Stationarity and Level Stationarity?
11. ### the difference between non-stationary data and random data?

what are the the difference between non-stationary data and random data? If we detrend a stationary data and make it non-stationary what will happen, will it be random?
12. ### Dickey Fuller Test

I am studying the Dickey Fuller test. The book of reference is Introductory Econometrics for Finance by C. Brooks. I firstly consider the zero mean Dickey Fuller test that uses the "random walk" type of regression: ΔY t =δY t−1 +u t The null hypothesis is that δ is zero and the...
13. ### Unit Root

What's this about? I'm new to econometrics and i'm trying to understand this conceptually. I know it has to do with nonstationarity (mean, variance and covariance changes over time) and the term "random walk" (the next step is the last one plus a random step) but what's the idea of a unit root...