Hi Nick, If you are using adf.test() from tseries, then the reason is the linear trend incorporated into the regression. From the help: "The general regression equation which incorporates a constant and a linear trend is used and the t-statistic for a first order autoregressive coefficient equals one is computed." Regress the data on a constant and a linear trend and check the residuals. Cheers, Adrian Adrian Trapletti Steinstrasse 9b, 8610 Uster, Switzerland P +41 44 994 56 30 | M +41 79 103 71 31 adrian at trapletti.org | www.trapletti.org
On Fri, Aug 27, 2021 at 12:00 PM <r-help-request at r-project.org> wrote:
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https://stat.ethz.ch/mailman/listinfo/r-help or, via email, send a message with subject or body 'help' to r-help-request at r-project.org You can reach the person managing the list at r-help-owner at r-project.org When replying, please edit your Subject line so it is more specific than "Re: Contents of R-help digest..." Today's Topics: 1. Augmented Dickie-Fuller test (Nick Wray) 2. ggplot error of "`data` must be a data frame, or other object coercible by `fortify()`, not an S3 object with class rxlsx" (Kai Yang) 3. Re: ggplot error of "`data` must be a data frame, or other object coercible by `fortify()`, not an S3 object with class rxlsx" (Thierry Onkelinx) 4. Re: ggplot error of "`data` must be a data frame, or other object coercible by `fortify()`, not an S3 object with class rxlsx" (Andrew Simmons) 5. Re: Augmented Dickie-Fuller test (John C Frain) 6. Re: ggplot error of "`data` must be a data frame, or other object coercible by `fortify()`, not an S3 object with class rxlsx" (Avi Gross) 7. Potential bug/unexpected behaviour in model matrix (Leonidas Lundell) 8. Re: ggplot error of "`data` must be a data frame, or other object coercible by `fortify()`, not an S3 object with class rxlsx" (Kai Yang) 9. Re: ggplot error of "`data` must be a data frame, or other object coercible by `fortify()`, not an S3 object with class rxlsx" (Kai Yang) 10. Re: ggplot error of "`data` must be a data frame, or other object coercible by `fortify()`, not an S3 object with class rxlsx" (John C Frain) 11. Re: ggplot error of "`data` must be a data frame, or other object coercible by `fortify()`, not an S3 object with class rxlsx" (Bill Dunlap) 12. Re: ggplot error of "`data` must be a data frame, or other object coercible by `fortify()`, not an S3 object with class rxlsx" (Andrew Simmons) 13. Re: Potential bug/unexpected behaviour in model matrix (Andrew Simmons) 14. Help with clinical trials.gov AACT database (bharat rawlley) 15. Re: ggplot error of "`data` must be a data frame, or other object coercible by `fortify()`, not an S3 object with class rxlsx" (Avi Gross) 16. Re: ggplot error of "`data` must be a data frame, or other object coercible by `fortify()`, not an S3 object with class rxlsx" (Kai Yang) 17. Re: Help with clinical trials.gov AACT database (bharat rawlley) 18. showing the complexity of r code..... (akshay kulkarni) 19. Re: showing the complexity of r code..... (Eric Berger) ---------------------------------------------------------------------- Message: 1 Date: Thu, 26 Aug 2021 14:23:16 +0100 From: Nick Wray <nickmwray at gmail.com> To: r-help at r-project.org Subject: [R] Augmented Dickie-Fuller test Message-ID: <CABxY9BPhLpNwBThX107zT=9q48rxCfSUutH5+5H+d6A10mZ35w at mail.gmail.com> Content-Type: text/plain; charset="utf-8" Hello: I've downloaded this dataset, and when I plot it it is clearly non-stationary df <- read.csv(' https://raw.githubusercontent.com/ourcodingclub/CC-time-series/master/monthly_milk.csv ') plot(df,type="l") But when I apply the Augmented Dickie-Fuller Test I get a p value of 0.01, implying that there is evidence to reject the null that the series is non-stationary. I am puzzled as to why this is happening. Is this because the confidence level is basically too high or is something else going on? adf.test(df[,2]) Augmented Dickey-Fuller Test data: df[, 2] Dickey-Fuller = -9.9714, Lag order = 5, p-value = 0.01 alternative hypothesis: stationary Thanks Nick Wray