trend stationary and difference stationary
Posted: Mon May 10, 2010 8:00 am
I have few 4 time series data: stock price, M2, CPI and interest rates.
M2, CPI and interest rates are all I(1).
As for stock price, it is non-stationary, but it seems like having deterministic trend. After detrending and running ADF on level with intercept on residual data, it is showing stationarity. My questions are
1) Is stock price considered I(1)? Am I right to run ADF on level with intercept only on the residual after detrending? What is the significance of the result of ADF on level which is showing stationarity?
2) can M2, CPI, interest rate and stock price be examined using cointegration?
M2, CPI and interest rates are all I(1).
As for stock price, it is non-stationary, but it seems like having deterministic trend. After detrending and running ADF on level with intercept on residual data, it is showing stationarity. My questions are
1) Is stock price considered I(1)? Am I right to run ADF on level with intercept only on the residual after detrending? What is the significance of the result of ADF on level which is showing stationarity?
2) can M2, CPI, interest rate and stock price be examined using cointegration?