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RE: st: RE: ADF test for seasonaly data


From   "adam dvir" <adamdvir@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   RE: st: RE: ADF test for seasonaly data
Date   Sun, 17 Sep 2006 15:32:51 -0400

Hi Jason,

Unfortunaly it doesn't. I thought maybe I can do seasonally differences for the change relative to last season (e.g. April 2001 - April 2000 etc.). But I find Auto-Correlation problem that does not seems to fade using lagged-differences.

what do you think?
thanks,

Adam



From: "Jason Yackee" <jyackee@law.usc.edu>
Reply-To: statalist@hsphsun2.harvard.edu
To: <statalist@hsphsun2.harvard.edu>
Subject: st: RE: ADF test for seasonaly data
Date: Sun, 17 Sep 2006 11:50:36 -0700

Does it make sense to make your own 7-month "year" so that the lag of
October is the previous April, &c?

Jason

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of adam dvir
Sent: Sunday, September 17, 2006 11:46 AM
To: statalist@hsphsun2.harvard.edu
Subject: st: ADF test for seasonaly data

Hello everyone,

I have a seasonally data of prices and quantities of Avocado export to
Europe, that I want to check for stationarity using DF or ADF tests.

the problem is that my data is not continuous, and includes only the
monthes
october to April (7 monthes), when the other monthes are blank (missing
values). When I use the ADF regression (with only 1 lagged diference), I

automatically lose 36 obs. of my 123 obs., because of the data's missing

monthes (I have obs. for 18 years). Moreover, each lag I add to the
rerassion makes one month to be ommited from the regrssion (for example:
1
lag - October is omitted, 2 lags - November is omitted etc.)

Is it right to use the ADF test? Or is there other test for stationarity

that might feet better to my case?



Thank you very much,



Adam Dvir

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