Unit root test for categorical variables

[Ujjwal]

Hi, Just a quick question, do we do unit root test for categorical variables? if yes, how?

[Alexander Koplenig]

Dear Ujjwal,

For categorical variables a unit root test does not make any sense as it tries to determine if a variable was generated by a stationary process. Roughly speaking stationarity means that the mean and the variance of the time series do not change over time. Neither the mean nor the variance are defined for categorical data.

HTH

Ali

[Federico Tedeschi]

Dear Ujjwal,

this paper precisely discusses nonstationarity in categorical variables:

https://www.hindawi.com/journals/jps/2012/417393/t