topic ADF test in Proc Arima in SAS Forecasting and Econometrics https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/ADF-test-in-Proc-Arima/m-p/194947#M1206 <HTML><HEAD></HEAD><BODY><P>I have a query on interpreting ADF test results from Proc Arima. I am learning time-series myself, so please do bear with me if this is a basic question.</P><P></P><P>When I run the ADF test, I get 3 sets of results from proc Arima: for Zero mean, Single mean and Trend.</P><P>There are p-values listed for two parameters: Rho and Tau. From online examples, I learned that stationarity is indicated if the the Tau p-value is small.</P><P></P><P>My question is, shold I look under Zero/single mean or Trend? Does this depend on the mean value of my series? For ex, if my time series, say quarterly GDP from 2010 to 2014</P><P>has mean 0.03, should I look under Zero mean, and if it had mean of 1.1, say, I would look under Single mean?</P><P></P><P></P><P>Thanks for any help!</P></BODY></HTML> Sat, 08 Aug 2015 13:31:11 GMT nstdt 2015-08-08T13:31:11Z ADF test in Proc Arima https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/ADF-test-in-Proc-Arima/m-p/194947#M1206 <HTML><HEAD></HEAD><BODY><P>I have a query on interpreting ADF test results from Proc Arima. I am learning time-series myself, so please do bear with me if this is a basic question.</P><P></P><P>When I run the ADF test, I get 3 sets of results from proc Arima: for Zero mean, Single mean and Trend.</P><P>There are p-values listed for two parameters: Rho and Tau. From online examples, I learned that stationarity is indicated if the the Tau p-value is small.</P><P></P><P>My question is, shold I look under Zero/single mean or Trend? Does this depend on the mean value of my series? For ex, if my time series, say quarterly GDP from 2010 to 2014</P><P>has mean 0.03, should I look under Zero mean, and if it had mean of 1.1, say, I would look under Single mean?</P><P></P><P></P><P>Thanks for any help!</P></BODY></HTML> Sat, 08 Aug 2015 13:31:11 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/ADF-test-in-Proc-Arima/m-p/194947#M1206 nstdt 2015-08-08T13:31:11Z Re: ADF test in Proc Arima https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/ADF-test-in-Proc-Arima/m-p/194948#M1207 <HTML><HEAD></HEAD><BODY><P>The choice of which ADF test to use depend on the original series as you mention. A series with apparent trend should look to the test including trend etc. This is to ensure that you are testing the null hypothesis against the most relevant alternative.</P><P></P><P>Some more elaborate explanations can be found here: <A href="http://stats.stackexchange.com/questions/44647/which-dickey-fuller-test-should-i-apply-to-a-time-series-with-an-underlying-mode" title="http://stats.stackexchange.com/questions/44647/which-dickey-fuller-test-should-i-apply-to-a-time-series-with-an-underlying-mode">http://stats.stackexchange.com/questions/44647/which-dickey-fuller-test-should-i-apply-to-a-time-series-with-an-underlying-mode</A></P></BODY></HTML> Mon, 10 Aug 2015 09:54:49 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/ADF-test-in-Proc-Arima/m-p/194948#M1207 SnurreJensen 2015-08-10T09:54:49Z