MATLAB Answers

Info

This question is closed. Reopen it to edit or answer.

Assess stationarity of a growth variable

2 views (last 30 days)
Christoph Meier
Christoph Meier on 6 Sep 2015
Closed: MATLAB Answer Bot on 20 Aug 2021
Dear Matlab community,
I am trying to assess a time series variable for stationarity. To give you an idea what I am doing: The variable is "industrial production index" (INDPRO), which measures industrial output in the U.S.
As it may be a growth variable, I first took the logarithm:
logINDPRO = log(INDPRO);
I then took the first difference, using
DlogINDPRO = diff(logINDPRO);
The augmented dickey fuller test gives =1 as an output, so does the KPSS test. Thus, I took up to three differences, but it seems there is not really an improvement:
Here a time series plot and a correlogram for illustration:
It appears that there is still autocorrelation (or perhaps a trend?) in my process. I am not sure what to do next: Should I keep taking differences, or will I probably not be able to pass the text this way anyway?
I suspect that the shocks in the process cause failing the tests.
Is there probably another test which is more appropriate?
I believe that KPSStest and ADFtest should give me a test output of '0' in order to pass?
Thank you very much for your help, it is much appreciated. I am spending quite some time on this now.
Greeting from Australia,
Chris

Answers (0)

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!