Hi all,
I was running the adf test in R.
CODE 1:
adf.test(data$LOSS)
Augmented Dickey-Fuller Test
data: data$LOSS
Dickey-Fuller = -1.9864, Lag order = 2, p-value = 0.5775
alternative hypothesis: stationary
CODE 2:
adf.test(diff(diff(data$LOSS)))
Augmented Dickey-Fuller Test
data: diff(diff(data$LOSS))
Dickey-Fuller = -6.9287, Lag order = 2, p-value = 0.01
alternative hypothesis: stationary
Is my interpretation correct:
The original data( in code 1) is not stationary
the twice differenced data (in code 2) is *stationary* and the order of the
corresponding ARMA(p,q) model are *p=2* (as lag order in the output is 2)
and *q=0*;.i.e. the *AR coefficients for X(t-1) and X(t-2) are significant*,
while those of X(t-3) onwards are insignificant.
Appreciate your help.
Thanks,
Preetam
--
Preetam Pal
(+91)-9432212774
M-Stat 2nd Year, Room No. N-114
Statistics Division, C.V.Raman
Hall
Indian Statistical Institute, B.H.O.S.
Kolkata.
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a) This looks like homework. The Posting Guide clearly indicates that this list
is not for homework help.
b) This is a statistics theory question that happens to use R, not an R question
that happens to be about statistics. Also off-topic per the Posting Guide...
there are other forums for stats questions.
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Sent from my phone. Please excuse my brevity.
Preetam Pal <lordpreetam at gmail.com> wrote:
>Hi all,
>
>I was running the adf test in R.
>
>
>CODE 1:
>
>adf.test(data$LOSS)
>
> Augmented Dickey-Fuller Test
>
>data: data$LOSS
>Dickey-Fuller = -1.9864, Lag order = 2, p-value = 0.5775
>alternative hypothesis: stationary
>
>
>CODE 2:
> adf.test(diff(diff(data$LOSS)))
>
> Augmented Dickey-Fuller Test
>
>data: diff(diff(data$LOSS))
>Dickey-Fuller = -6.9287, Lag order = 2, p-value = 0.01
>alternative hypothesis: stationary
>
>
>
>Is my interpretation correct:
>
>The original data( in code 1) is not stationary
>
>the twice differenced data (in code 2) is *stationary* and the order of
>the
>corresponding ARMA(p,q) model are *p=2* (as lag order in the output is
>2)
>and *q=0*;.i.e. the *AR coefficients for X(t-1) and X(t-2) are
>significant*,
>while those of X(t-3) onwards are insignificant.
>
>
>Appreciate your help.
>Thanks,
>Preetam