I(0) , I(1)
Posted: Sun Jul 10, 2011 2:10 pm
Hello
I have a question towards the order of Intergration.
If I have a time series which is showing a trend , this trend can be determenistic or stochastic. This I dont know from just looking at the graph.
No I am gonna make Unit Root tests to determine the ORder of Integration.
Assume that I find that the first differences have no unit root.
So first I test the series without including a trend and the test result is that there is a unit root. This would mean that the process is I(1).
Ok but when I include a trend term in the test I find that there is no unit root, which means that the process is trend stationary.
Can i now say that the process is I(0) ??
Do I think correct ?
best regards
I have a question towards the order of Intergration.
If I have a time series which is showing a trend , this trend can be determenistic or stochastic. This I dont know from just looking at the graph.
No I am gonna make Unit Root tests to determine the ORder of Integration.
Assume that I find that the first differences have no unit root.
So first I test the series without including a trend and the test result is that there is a unit root. This would mean that the process is I(1).
Ok but when I include a trend term in the test I find that there is no unit root, which means that the process is trend stationary.
Can i now say that the process is I(0) ??
Do I think correct ?
best regards