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Correlogram
Posted: Mon Jun 20, 2016 7:36 am
by SM28
Hello! I have this correlogram, Is that stationary or non-stationary series? Thanks!
Re: Correlogram
Posted: Mon Jun 20, 2016 10:35 am
by Dragoneo
It seems to me that you might have a seasonal variable, but aas the autocorrelations seem to be within the band, i would suggest that it is stationary. The easiest way to determine if it is stationary or not is to do the ADF test.
Re: Correlogram
Posted: Tue Jun 21, 2016 10:28 am
by SM28
Thank you for your answer. I have a annual frequency for my series. I made the ADF test, but I don't know exactly how to interpret it.
Re: Correlogram
Posted: Tue Jun 21, 2016 2:47 pm
by Dragoneo
The ADF tests for stationarity of the time series, and i can see you tested considering the existence of intercept. Essentially the ADF test estimates the regression of Yt in a randow walk process, random walk with drift and deterministic trend (ADF with none, with intercept and with intercept and drift), and also can be used to determine if you have a Trend stationary or Difference stationary process.
The test concludes that you time series is not stationary, as you can't reject the hypothesys of unit root.This means that you need to make the series stationary because if you regress in OLs the t-tests and f-test might loose meaning - see about spurious regressions.
I recomend you at least read Basic Econometrics by Gujarati in order to have some understanding of how the test works, or at least some course materials in Econometrics you can find.