tut5 stationarity
Post on 29-Nov-2014
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Explains how to do an ADF test of the stationarity of data in EViews
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ECON321Economic Analysis
Tutorial 5
Time series issues: Stationarity
Introduction
• 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.o A first step is to plot your variables. If the series are
trending upward or downward over time, you have to be concerned.
o The next step is to do the ADF test for every variable.
• The example is of the effects of inflation and budget deficits on interest rates.
Once you are estimating with stationary time series the next concern is structural breaks. Save your workfile and continue…
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