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Sizzen
Fluorite | Level 6
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I have time series, and after 1st difference i got this .

 Pr<Tau in first and second row is <0,05, but in third line it is >0,05.

So what i have to do ? It is stationary or i have to do second difference ?

1 REPLY 1
dw_sas
SAS Employee

Hi Sizzen,

 

For the table provided of Dickey-Fuller test results on your first-differenced series, all 3 p-values shown in the Pr < Tau column are smaller than the alpha-level you mentioned of 0.05.  This causes you to reject the null hypothesis that the series has a unit root and conclude that no further differencing is needed.

 

I hope this helps!

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