topic time series in SAS Forecasting and Econometrics

time series

esraa1 — Fri, 03 Jul 2020 10:58:51 GMT

Hi!

from ACF and PACF plots and dickey fuller test , as shown below , the data is stationary or not ? why ?

Re: time series

Ksharp — Fri, 03 Jul 2020 12:08:43 GMT

the data is stationary due to ACF is down very quickly.

Re: time series

esraa1 — Fri, 03 Jul 2020 12:37:24 GMT

but from dickey fuller test show that the series is not stationary at lag 2 !

@Ksharp

Re: time series

Ksharp — Fri, 03 Jul 2020 12:50:10 GMT

P Value is 0.0066 ?

Re: time series

esraa1 — Fri, 03 Jul 2020 13:00:59 GMT

@Ksharp yes

but not significant at 5 % at lag 2 in single mean test

Re: time series

Ksharp — Fri, 03 Jul 2020 13:12:32 GMT

If I was right . H0 : has unit root (the data is stationary ) . not significant means can't reject H0 , a.k.a the data is stationary .

P.S. I am not expert about it . Somebody should give you correct answer .

Re: time series

gamotte — Fri, 03 Jul 2020 13:38:33 GMT

Hello,

A unit root implies that the data is not stationary (shocks have persistent effects).

Re: time series

Ksharp — Sat, 04 Jul 2020 11:43:34 GMT

Hi,
My H0 maybe is not right .Hope some ETS guys could help you .