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