Search found 6 matches

by goldfish
Wed Oct 14, 2015 10:40 am
Forum: Econometric Discussions
Topic: Dicky Fuller Test vs. p-value
Replies: 9
Views: 5485

Re: Dicky Fuller Test vs. p-value

Ok, that makes sense! Thank you very much! :-)
by goldfish
Wed Oct 14, 2015 10:01 am
Forum: Econometric Discussions
Topic: Dicky Fuller Test vs. p-value
Replies: 9
Views: 5485

Re: Dicky Fuller Test vs. p-value

Ok now I think I got it!
We therefore cannot reject the null hypothesis that this is white noise (therefore it seems like it indeed is white noise), right?
thank you very much for your effort!
by goldfish
Wed Oct 14, 2015 9:41 am
Forum: Econometric Discussions
Topic: Dicky Fuller Test vs. p-value
Replies: 9
Views: 5485

Re: Dicky Fuller Test vs. p-value

Oh sorry. Yes of course. But if one gets this result with a regular AR(1) model, since one cannot test it with the dicky fuller test. What I mean is: if I have some data (e.g. financial time series), and I want to know more about the phi, then I use a AR(1) model. And then I have a coefficient for p...
by goldfish
Wed Oct 14, 2015 9:36 am
Forum: Econometric Discussions
Topic: Dicky Fuller Test vs. p-value
Replies: 9
Views: 5485

Re: Dicky Fuller Test vs. p-value

So that means that if we have a coefficient SERIES2(-1), a value 0.0028 but a p-value of 0.89, that means that we do indeed have to reject the null hypothesis that this is white noise? even though the coefficient phi is that low?
Thank you!
by goldfish
Wed Oct 14, 2015 9:23 am
Forum: Econometric Discussions
Topic: Dicky Fuller Test vs. p-value
Replies: 9
Views: 5485

Re: Dicky Fuller Test vs. p-value

Perfect, thank you!
by goldfish
Wed Oct 14, 2015 3:32 am
Forum: Econometric Discussions
Topic: Dicky Fuller Test vs. p-value
Replies: 9
Views: 5485

Dicky Fuller Test vs. p-value

Hi I am a little bit confused. I want to interpret an AR(1) Model for a financial time series and find out, whether Phi, so coefficient is equal to one (random walk), between one and zero (stationary) or equal to zero (white noise) is. not when I have a phi, but the p-value is above the significance...

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