Hi Nick, If you are using adf.test() from tseries, then the reason is the linear trend incorporated into the regression. From the help: "The general regression equation which incorporates a constant and a linear trend is used and the t-statistic for a first order autoregressive coefficient equals one is computed." Regress the data on a constant and a linear trend and check the residuals. Cheers, Adrian Adrian Trapletti Steinstrasse 9b, 8610 Uster, Switzerland P +41 44 994 56 30 | M +41 79 103 71 31 adrian at trapletti.org | www.trapletti.org On Fri, Aug 27, 2021 at 12:00 PM <r-help-request at r-project.org> wrote:> > Send R-help mailing list submissions to > r-help at r-project.org > > To subscribe or unsubscribe via the World Wide Web, visit > https://stat.ethz.ch/mailman/listinfo/r-help > or, via email, send a message with subject or body 'help' to > r-help-request at r-project.org > > You can reach the person managing the list at > r-help-owner at r-project.org > > When replying, please edit your Subject line so it is more specific > than "Re: Contents of R-help digest..." > > > Today's Topics: > > 1. Augmented Dickie-Fuller test (Nick Wray) > 2. ggplot error of "`data` must be a data frame, or other object > coercible by `fortify()`, not an S3 object with class rxlsx" > (Kai Yang) > 3. Re: ggplot error of "`data` must be a data frame, or other > object coercible by `fortify()`, not an S3 object with class > rxlsx" (Thierry Onkelinx) > 4. Re: ggplot error of "`data` must be a data frame, or other > object coercible by `fortify()`, not an S3 object with class > rxlsx" (Andrew Simmons) > 5. Re: Augmented Dickie-Fuller test (John C Frain) > 6. Re: ggplot error of "`data` must be a data frame, or other > object coercible by `fortify()`, not an S3 object with class > rxlsx" (Avi Gross) > 7. Potential bug/unexpected behaviour in model matrix > (Leonidas Lundell) > 8. Re: ggplot error of "`data` must be a data frame, or other > object coercible by `fortify()`, not an S3 object with class > rxlsx" (Kai Yang) > 9. Re: ggplot error of "`data` must be a data frame, or other > object coercible by `fortify()`, not an S3 object with class > rxlsx" (Kai Yang) > 10. Re: ggplot error of "`data` must be a data frame, or other > object coercible by `fortify()`, not an S3 object with class > rxlsx" (John C Frain) > 11. Re: ggplot error of "`data` must be a data frame, or other > object coercible by `fortify()`, not an S3 object with class > rxlsx" (Bill Dunlap) > 12. Re: ggplot error of "`data` must be a data frame, or other > object coercible by `fortify()`, not an S3 object with class > rxlsx" (Andrew Simmons) > 13. Re: Potential bug/unexpected behaviour in model matrix > (Andrew Simmons) > 14. Help with clinical trials.gov AACT database (bharat rawlley) > 15. Re: ggplot error of "`data` must be a data frame, or other > object coercible by `fortify()`, not an S3 object with class > rxlsx" (Avi Gross) > 16. Re: ggplot error of "`data` must be a data frame, or other > object coercible by `fortify()`, not an S3 object with class > rxlsx" (Kai Yang) > 17. Re: Help with clinical trials.gov AACT database (bharat rawlley) > 18. showing the complexity of r code..... (akshay kulkarni) > 19. Re: showing the complexity of r code..... (Eric Berger) > > ---------------------------------------------------------------------- > > Message: 1 > Date: Thu, 26 Aug 2021 14:23:16 +0100 > From: Nick Wray <nickmwray at gmail.com> > To: r-help at r-project.org > Subject: [R] Augmented Dickie-Fuller test > Message-ID: > <CABxY9BPhLpNwBThX107zT=9q48rxCfSUutH5+5H+d6A10mZ35w at mail.gmail.com> > Content-Type: text/plain; charset="utf-8" > > Hello: I've downloaded this dataset, and when I plot it it is clearly > non-stationary > > > df <- read.csv(' > https://raw.githubusercontent.com/ourcodingclub/CC-time-series/master/monthly_milk.csv > ') > > plot(df,type="l") > > But when I apply the Augmented Dickie-Fuller Test I get a p value of 0.01, > implying that there is evidence to reject the null that the series is > non-stationary. I am puzzled as to why this is happening. Is this because > the confidence level is basically too high or is something else going on? > > adf.test(df[,2]) > > Augmented Dickey-Fuller Test > > data: df[, 2] Dickey-Fuller = -9.9714, Lag order = 5, p-value = 0.01 > alternative hypothesis: stationary > > Thanks Nick Wray >