Test di stazionarietà in campioni di grandi dimensioni - KamilTaylan.blog
29 Marzo 2022 2:25

Test di stazionarietà in campioni di grandi dimensioni

What should be the p-value in ADF test?

In general, a p-value of less than 5% means you can reject the null hypothesis that there is a unit root. You can also compare the calculated DFT statistic with a tabulated critical value.

How do you interpret ADF results?

The augmented Dickey–Fuller (ADF) statistic, used in the test, is a negative number. The more negative it is, the stronger the rejection of the hypothesis that there is a unit root at some level of confidence.

What will be the p-value after applying an ADF test on a white noise series?

White noise series

Here the p-value is displayed as 0.01, but as the warning notes, it’s actually lower than 0.01.