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Re: RE: st: RE: ADF test for seasonaly data


From   "adam dvir" <adamdvir@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: RE: st: RE: ADF test for seasonaly data
Date   Tue, 19 Sep 2006 04:05:11 -0400

Thanks Robert,

Can you direct me to a method that deals with un equaly spaced data?

thanks
Adam

From: Robert A Yaffee <bob.yaffee@nyu.edu>
Reply-To: statalist@hsphsun2.harvard.edu
To: statalist@hsphsun2.harvard.edu
Subject: Re: RE: st: RE: ADF test for seasonaly data
Date: Sun, 17 Sep 2006 16:10:44 -0400

Adam,
  You need equally spaced data for ordinary time series, if
your acf and pacf are to provide correct significance tests.
Moreover, the ordinary ADF test will require such data as well.
If you have unequally spaced data, you should ask yourself
whether you can responsibly interpolate. If you can, you will
need to do so. If you cannot, then you will have to use another
method that permits unequally spaced data.
 Regards,
   Robert Yaffee

Robert A. Yaffee, Ph.D.
Research Professor
Shirley M. Ehrenkranz
School of Social Work
New York University

home address:
Apt 19-W
2100 Linwood Ave.
Fort Lee, NJ
07024-3171
Phone: 201-242-3824
Fax: 201-242-3825
yaffee@nyu.edu

----- Original Message -----
From: adam dvir <adamdvir@hotmail.com>
Date: Sunday, September 17, 2006 3:32 pm
Subject: RE: st: RE: ADF test for seasonaly data

> 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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