Dear Statalist,
I have a question about whether -arima- can be directly used for non-stationary time series (non-stationary even at first difference).
In theory, ARIMA will firstly difference the original series, and then use the differenced series. I have tested the stationarity of the US Wholesale Price Index (WPI) used in the Stata manual of -arima-. Neither the original WPI series nor the first-differenced WPI is stationary. But the Stata manual still uses it (in the first-differenced form) to demonstrate -arima-.
The data source of WPI is http://www.stata-press.com/data/r13/wpi1
So does it mean that I can directly apply -arima- to non-stationary data (non-stationary even at first difference)?
Thank you very much!
I have a question about whether -arima- can be directly used for non-stationary time series (non-stationary even at first difference).
In theory, ARIMA will firstly difference the original series, and then use the differenced series. I have tested the stationarity of the US Wholesale Price Index (WPI) used in the Stata manual of -arima-. Neither the original WPI series nor the first-differenced WPI is stationary. But the Stata manual still uses it (in the first-differenced form) to demonstrate -arima-.
The data source of WPI is http://www.stata-press.com/data/r13/wpi1
So does it mean that I can directly apply -arima- to non-stationary data (non-stationary even at first difference)?
Thank you very much!
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