[prev in list] [next in list] [prev in thread] [next in thread] 

List:       r-help
Subject:    Re: [R] ADF test --time series
From:       Jeff Newmiller <jdnewmil () dcn ! davis ! ca ! us>
Date:       2013-04-30 13:06:26
Message-ID: d4b5c8f1-a8e3-403d-ad48-c6f9d93d4d18 () email ! android ! com
[Download RAW message or body]

a) This looks like homework. The Posting Guide clearly indicates that this list is \
not for homework help.

b) This is a statistics theory question that happens to use R, not an R question that \
happens to be about statistics. Also off-topic per the Posting Guide... there are \
                other forums for stats questions.
---------------------------------------------------------------------------
Jeff Newmiller                        The     .....       .....  Go Live...
DCN:<jdnewmil@dcn.davis.ca.us>        Basics: ##.#.       ##.#.  Live Go...
                                      Live:   OO#.. Dead: OO#..  Playing
Research Engineer (Solar/Batteries            O.O#.       #.O#.  with
/Software/Embedded Controllers)               .OO#.       .OO#.  rocks...1k
--------------------------------------------------------------------------- 
Sent from my phone. Please excuse my brevity.

Preetam Pal <lordpreetam@gmail.com> wrote:

> Hi all,
> 
> I was running the adf test in R.
> 
> 
> CODE 1:
> 
> adf.test(data$LOSS)
> 
> Augmented Dickey-Fuller Test
> 
> data:  data$LOSS
> Dickey-Fuller = -1.9864, Lag order = 2, p-value = 0.5775
> alternative hypothesis: stationary
> 
> 
> CODE 2:
> adf.test(diff(diff(data$LOSS)))
> 
> Augmented Dickey-Fuller Test
> 
> data:  diff(diff(data$LOSS))
> Dickey-Fuller = -6.9287, Lag order = 2, p-value = 0.01
> alternative hypothesis: stationary
> 
> 
> 
> Is my interpretation correct:
> 
> The original data( in code 1) is not stationary
> 
> the twice differenced data (in code 2) is *stationary* and the order of
> the
> corresponding ARMA(p,q) model are *p=2* (as lag order in the output is
> 2)
> and *q=0*;.i.e. the *AR coefficients for X(t-1) and X(t-2) are
> significant*,
> while those of X(t-3) onwards are insignificant.
> 
> 
> Appreciate your help.
> Thanks,
> Preetam

______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.


[prev in list] [next in list] [prev in thread] [next in thread]