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rejection
2007 Aug 16
2
ADF test
...onduct a test for stationarity using ADF test :
> adf.test((data[,1]), "stationary", 0)
Augmented Dickey-Fuller Test
data: (data[, 1])
Dickey-Fuller = -3.7351, Lag order = 0, p-value = 0.02394
alternative hypothesis: stationary
But surprisingly it leads towards rejestion of NULL [p-value is less than 0.05], i.e. indicates a possible stationary series. However ploting a graph of actual data set it doesn't seem so.
Am I making any mistakes ? Can anyone give me any suggestion?
Regards,
Megh
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