Some Time Series Questions
Posted: Tue Jul 15, 2014 12:06 am
Dear all,
Would really appreciate if someone can answer:
I am working on a report the aim of which is to investigate the link b/w infrastructure and job creation. My data variables are roads (KM) , electricity generation (GHW) and gas generation. Whereas job creation variables include unemployment rate (%), employment in the transport sector (mill), construction sector (mill) and electricity + generation sector (mill).
1) When I plot roads against a time variable, it shows a clear upward trend. But when I use the dfuller test my computed t-stat is very high. High enough to reject the null hypothesis of stationary. How come it can be stationary when the graph shows a clear upward trend? I even tried taking log of the variable, t-stat becomes even higher.
2) If the variable is stationary at level, is it okay if we still take a first difference of it? (assume first difference is stationary too)
3) Iv'e heard about some detrending filters like hprescott. Is it okay to apply both that i.e first difference and a trend filter to make a variable stationary?
Would really appreciate if someone can answer:
I am working on a report the aim of which is to investigate the link b/w infrastructure and job creation. My data variables are roads (KM) , electricity generation (GHW) and gas generation. Whereas job creation variables include unemployment rate (%), employment in the transport sector (mill), construction sector (mill) and electricity + generation sector (mill).
1) When I plot roads against a time variable, it shows a clear upward trend. But when I use the dfuller test my computed t-stat is very high. High enough to reject the null hypothesis of stationary. How come it can be stationary when the graph shows a clear upward trend? I even tried taking log of the variable, t-stat becomes even higher.
2) If the variable is stationary at level, is it okay if we still take a first difference of it? (assume first difference is stationary too)
3) Iv'e heard about some detrending filters like hprescott. Is it okay to apply both that i.e first difference and a trend filter to make a variable stationary?