Quantcast
Channel: ADF-Test indicates stationarity for a non-stationary time series - Cross Validated
Viewing all articles
Browse latest Browse all 2

ADF-Test indicates stationarity for a non-stationary time series

$
0
0

I have a minor issue and am not sure what to do. The link below leads to an image of two time series I plotted, the upper being the original, the bottom one obtained by taking the first differences.

While neither of both is stationary, at least that's what I think (correct me if I'm wrong), performing an ADF test to test for stationarity only indicates non-stationarity for the original time series, but not for the first differences one.

Below you can find the ADF-Test outputs for each of the series:

Results of Dickey-Fuller Test (Original Time Series):Test Statistic                 -0.991032p-value                         0.756521Lags Used                      7.000000Number of Observations Used    48.000000Critical Value (1%)            -3.574589Critical Value (5%)            -2.923954Critical Value (10%)           -2.600039Results of Dickey-Fuller Test (First Differences):Test Statistic                 -3.316947p-value                         0.014138#Lags Used                      6.000000Number of Observations Used    49.000000Critical Value (1%)            -3.571472Critical Value (5%)            -2.922629Critical Value (10%)           -2.599336

Am I missing something here? Why does the second test indicate stationarity at the 5% level?

Thanks a lot!

Cheers,IG

Original time series and first differences


Viewing all articles
Browse latest Browse all 2

Latest Images

Trending Articles





Latest Images

<script src="https://jsc.adskeeper.com/r/s/rssing.com.1596347.js" async> </script>
<script src="https://jsc.adskeeper.com/r/s/rssing.com.1596344.js" async> </script>