Unit root tests in Eviews - Stationarity

Unit root tests in Eviews: Learn How to Test for Unit Roots in Time Series using EViews - Stationarity Tutorial.

In this video, we'll be diving into the process of testing for the existence of a unit root in a time series using EViews software. We'll be using real data for Canada and applying various tests to determine the stationarity of the consumer price index.

We'll start by analyzing the graph to identify any trends or changes in mean over time. From there, we'll move on to using the correlogram to confirm whether the auto-correlation function decays immediately. Finally, we'll use formal tests such as the Augmented Dickey-Fuller test, KPSS test, and Phillips-Perron test to test for unit roots.

At the end of the video, we'll conclude that the consumer price index series has a unit root and is non-stationary. We'll also demonstrate the significance of the trend and intercept and recommend the use of the Phillips-Perron test in cases where roots are very close to one.

If you're interested in learning more about unit root tests in EViews and how to determine the stationarity of a time series, this video is for you! Don't forget to hit that subscribe button and share the video with your colleagues and friends. Thank you for watching!
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✅Watch Unit Root Test with Structural Breaks:
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🕘 Timestamps:
🎬 In this video the following analysis is performed:
👋 Video introduction 0:00
📊 (i) Graph Analysis: 0:47
📊 (ii)correlogram Analysis: 1:10
📊 (iii) perform unit root formal tests.
📈1-Augmented Dickey Fuller test (ADF unit root test). 1:37
📈2- Phillips Perron test (unit root test). 3:42
📈3- Kwiatkowski–Phillips–Schmidt–Shin test (KPSS test-stationarity test). 4:45

A clear explanation of the decision rule for unit root test is provided.
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🎬 More EViews related videos:

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I'd love to hear your thoughts and questions! Leave a comment below and I'll be sure to respond. And if you enjoyed this video, please hit the like button and subscribe to my channel for more content like this. Thanks for watching!

JDEconomics

[attar]

Wow thanks, I got confused about KPSS but this video cleared things up!

[zinebkanche]

Thanks a lot for this video🙏🏻🙏🏻 I was so confused before, and everything is clear now.

[philipjavierocleda]

Hi, Just want to say thanks for the video, it was very helpful and your explanation is clear. 👍👍👍😄

[Onlymagic]

Hi, what can I do If results of the test are different from each other ?

[alejandroruiz]

How can we determine when to include intercept, intercept & trend, or none in the equation of the ADF Test? Is it merely by looking at the graph or is there anything else?

[EJOcio]

Hi, thank you for this. However, in ADF, what if the trend and intercept are both not significant, should I choose "None"?

[fitrianisanusaputri]

Thanks before sir. But may i ask a question? Can we choose one of the stasionarity test to check that our data is stasioner? For ex: im just use the kpss to check my data is stasioner, without use another stasionarity tests like adf or dicket fuller. Or shall we have to use both of adf and kpss?

[renatocanuto]

Hi. Thank you for the explanation! But I have a question! If LM-stat is smaller than the critical values, I don't reject the Null Hypothesis, so the serie is STATIONARY??? tY

[michelle]

Thank you so much for the very clear explanation! But I have a question. I do these three unit root test for a time series, and the result of ADF test and PP test is having unit root (unstationary, accept the null hypothesis) but the result of KPSS is stationary (accept the null hypothesis). I'm very confused about the result. Could you tell me how to explain this situation? Thank you!

[emirarefa]

Hi thank you for your explanation

And I have a question, if i am using trend and intercept in ADF test, is it influencing the method that I use? For example, here I am using ARDL, then, am I have to use ARDL model that include trend?

[zulekhaqadeer]

I have a question that while applying adf there is also t statistics and p values come but in kpss its just the p value... And if we want to write t statistics value in our work of kpss what we will do.

[EconomiaASAP]

Hey, can you explain how can I save this output as a variable to use in others regressions? I need to use Brazil's gdp for example, as a stationary variable in a regression, but I don't know how can I save the output to do it in Eviews.

[jurgencaceresbueno]

Hi, great video! I have a question I want to run a VEC model with 4 variables and one of them is stationary because I ran the ADF test and its Prob is lower than 0.5 in all the cases, and I was wondering if I can make it non-stationary and how. Also, idk if because 1 of the variables that I am planning to use in the VEC model is stationary I would have some problems or not, or if I can run any model at all. I would appreciate it if you can answer my question, because as far as I know all the variables of the econometric model must be non-stationary in order to run the model.
Regards!

[JDEconomics]

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Thanks a lot!
JD Economics.

[fadzly]

hi, how to determine what's the level of significance based of adf t statistic and critical value?