stationarity of CPI(price index)

For econometric discussions not necessarily related to EViews.

Moderators: EViews Gareth, EViews Moderator

Posts: 1
Joined: Sun Mar 20, 2016 9:56 am

stationarity of CPI(price index)

Postby Mansur » Sun Mar 20, 2016 10:00 am

I am trying to determine whether CPI is DS or TS.On the graph it looks like the series is DS.However dfuller test in stata shows no evidence to support DS.I tried ADF using different number of lags.It seems that optimal number of lags is 2 since most of the lags after second one show no significance.With two added lags there is still strong evidence against DS(p=0.001).With 25 lags I get evidence in favour of DS,but there is no reason to add 25 lags,right?with every added lag p-value behaves in an unclear manner,it goes up and down. I also regressed it on time to see if it is TS: the coefficient on t is obviously significant, but residuals are not stationary.Could anyone suggest some help?

Non-normality and collinearity are NOT problems!
Posts: 3232
Joined: Wed Sep 17, 2008 2:25 pm

Re: stationarity of CPI(price index)

Postby startz » Sun Mar 20, 2016 1:13 pm

I don't know what data you are using or what Stata is doing, but in EViews using the full set of CPI data it is clear that there is a unit root.

Posts: 1
Joined: Sun Apr 10, 2016 5:36 am

Re: stationarity of CPI(price index)

Postby rommellh » Sun Apr 10, 2016 5:58 am

If at levels a variable with an intercept alone is non-stationary but with intercept and trend it is stationary (I would think this suggests the variable is trend stationary), do you conclude stationarity and proceed modelling? Or must you first detrend the variable, run the unit root test once more to ensure stationarity and then proceed to model.

Also, I saw a video on Youtube that suggested that the results of all three ADF models (intercept alone, intercept and trend, and no intercept or trend) must agree before making a conclusion on stationarity. Is this true? I was not taught this.

Thanks in advance

sam SAM
Posts: 22
Joined: Tue Dec 26, 2017 4:31 am

Re: stationarity of CPI(price index)

Postby sam SAM » Tue Dec 26, 2017 5:48 pm

Good Evening

Please, professor, I found in the test of the stationarity of a series with the first difference that it is of type TS (Trend Stationary). in this case, should we make the detrend or the differentiation?

and if we apply the detrend it implies that this variable is is integrated of order 1 (I (1))?


sam SAM
Posts: 22
Joined: Tue Dec 26, 2017 4:31 am

The Trend Stationary (TS) and ARDL model

Postby sam SAM » Mon Jan 22, 2018 12:45 am

Please, I have a series it is DS (of model 3: with constant and trend) at the level, and TS at the first difference; are we going to the second difference or not?
Ie is this series integer of order 2 or 1?


Return to “Econometric Discussions”

Who is online

Users browsing this forum: No registered users and 4 guests