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Moreover, stationarity is restored in each variable on first-differencing displaying 1(1) behavior.
4% Table 3a Stationarity Tests for Prices at Levels (Sep 1986-Aug 2013) ADF Test PP Test Price Statistic statistic Dubai Spot Price ([P.
To confirm the stationarity of the data and the stability of the VAR model standard unit roots (Dickey-Fuller, Phillips-Perron, GLS-detrended Dickey-Fuller, Kwiatkowski, Phillips, Schmidt, and Shin, Elliott, Rothenberg, and Stock Point Optimal and Ng and Perron) tests were performed.
If a series is found to be non-stationary in level, one should difference the series until the stationarity is established.
TABLE 2 Panel Unit Root and Stationarity Tests Variables IPS LLC Fisher-ADF Fisher-PP CBL (HOM) GINI -1.
In agreement with the latter approach, several studies concurred regarding the presence of stationarity as an indication of informational inefficiency.
t] should then be tested for stationarity using the following equation:
In fact, stationarity is required by many non-linear analysis techniques (23).
After an introduction to stationarity and an analysis of stationary time series from both the time and frequency domains, the text covers topics such as linear filters, various stationary and non-stationary time series models, and wavelets.
Before employing the granger-causality test, the Phillips-Perron test was employed to test for stationarity of all time series.