senlinlang

pepp Wrote:
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> for AR use dickey fuller test.
> H0: b1-1 =0
> if rejected, then time is covariant stationary.
> If fail to reject, then b1 is indeed 1/has unit
> root.
>
>
> To correct unit root, do first differencing.
> A) Calculate yt = error = xt - x(t-1)
> B) Then state yt = b0 + b1 y(t-1) + e where
> b0=b1=0

All the tests before whether hetero, serial, Autoregression .. if we reject null = > model needs to be corrected however in this test, if we reject null then it is cov stationary and it doesnt have unit root? please confirm..

ppls

Just reviewed this section:

For simple time series Trend Analyis, use dicky fuller and follow CFA_Chap's analysis.

For AR models, you need to perform a t-test on the autocorrelation or series correlation coefficients. If those are significant (generally greater than 2), then autocorrelation exists. This is also used for idenitfying seasonality I believe.

For AR, there is also the ARCH test for conditional heteroskedasticity. Once again, if the t-stats on the coefficients are significant, the model is invalid and needs to be respecified.

I do hope we don't have to calculate, and can merely look at the reports :-)