Tut5 stationarity

1,153 views

Published on

Explains how to do an ADF test of the stationarity of data in EViews

0 Comments
1 Like
Statistics
Notes
  • Be the first to comment

No Downloads
Views
Total views
1,153
On SlideShare
0
From Embeds
0
Number of Embeds
4
Actions
Shares
0
Downloads
302
Comments
0
Likes
1
Embeds 0
No embeds

No notes for slide

Tut5 stationarity

  1. 1. ECON321 Economic Analysis Tutorial 5 Time series issues: Stationarity
  2. 2. Introduction <ul><li>The lecture on chapter 16 explains that it is important to make sure that your data is stationary before you estimate a regression model – if your data are non-stationary the results are spurious. </li></ul><ul><ul><li>A first step is to plot your variables. If the series are trending upward or downward over time, you have to be concerned. </li></ul></ul><ul><ul><li>The next step is to do the ADF test for every variable. </li></ul></ul><ul><li>The example is of the effects of inflation and budget deficits on interest rates. </li></ul>
  3. 29. <ul><li>Once you are estimating with stationary time series the next concern is structural breaks. Save your workfile and continue… </li></ul>

×