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- Intuitive explanation of stationarity - Cross Validated
Stationarity is especially important as many classical econometric theories are derived under the assumptions of stationarity A strong form of stationarity is when the distribution of a time-series is exactly the same trough time
- Unit root tests, stationarity, and the null hypothesis
I was reading about unit root test, when I started to get slightly confused about the setting for the Null hypothesis vs Alternative hypothesis, and so I thought of asking the experts opinion In
- How to know if a time series is stationary or non-stationary?
36 Stationarity means that the marginal distribution of the process does not change with time A weaker forms states that the mean and the variance stay the same over time So anything that violates it will be deemed non-stationary, for whatever silly reasons
- stationarity - Dickey-Fuller test significant = gt; series stationary . . .
For the Dickey-Fuller test it's apparently the opposite Stationarity is the alternative, rejecting the unit root amounts to rejecting non-stationarity, or, in other words, to observe more or less strong evidence for stationarity
- stationarity - Can stationary time series contain regulary cycles and . . .
I just started trying to undestand the notion of stationary in time series Basically I have 2 questions: Can stationary time series contain regulary cycles and thus seasonality patterns? For exma
- What is a stationary time series? What are some examples?
I am confused as to what some examples would be Would temperature throughout the years be stationary, assuming that there isn't any trend? Does stationarity mean that the only movement in the data is attributed to random, white noise? What are some examples? I am at a loss for examples
- time series - What is the difference between a stationary test and a . . .
I don't know how those tests work in detail, but one difference is that ADF test uses null hypothesis that a series contains a unit root, while KPSS test uses null hypothesis that the series is stationary Here is wikipedia passage that might be useful:
- time series - Whats a stationary VAR? - Cross Validated
What is a stationary VAR (vector autoregression)? Can a VAR with non-stationary variables be stationary? How do you test whether a VAR is stationary or non-stationary? (Example in R language if pos
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