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  • Determining the order of integration

    Dear community,

    as I am conducting a ADF test for stationarity, I am interested in the actual order of integration of the time series. The null hypothesis of the ADF is that the time series contains a unit root but does not answer the question whether the time series follows another order of integration than I(0) or I(1).

    Thanks for your support,
    best regards,
    Max

  • #2
    You can find the order of integration by differencing the given variable at different lags and see when it become stationary. So if the variable is not stationary at first lag and become stationary at first difference, the variable is integrated of order 1, i.e. I(1).
    Regards
    --------------------------------------------------
    Attaullah Shah, PhD.
    Associate Professor of Finance, Institute of Management Sciences Peshawar, Pakistan
    www.FinTechProfessor.com
    If you use MS Word, do check my asdoc program that easily sends Stata output to MS Word

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    • #3
      Search for Dickey and Pantula (1987), Determining the Order of Differencing in Autoregressive Processes

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