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Toni2
Lapis Lazuli | Level 10

below is my ADF test for regression residuals. I use alpha=5%

My interpretation is : my residuals are non-stationary as my model does not take into account the 4 lags suggested by ADF. In other words, my residuals would be stationary only if i take in consideration the 4 lags in the model

Is this correct?

 

 

Lag 4 , ADF = -2.922, p-value = 0.0428

 

2 REPLIES 2
ballardw
Super User

I suggest including the code that you ran to generate that output so any responses have a better chance of targeting the interpretation in light of the options you selected.

Ksharp
Super User
Better post it at Forecasting Forum, since it is question about SAS/ETS .

https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/bd-p/forecasting_econometrics

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