Stationarity : Dickey-Fuller Test

time_series

#1

Hi,

I can’t understand why the p-value is so small. For what I’ve understood, this time serie is clearly not stationary, no ?


#2

Hi @superbromy,

Dickey-Fuller Test is able to identify the non stationary series when we have a trend (increasing or decreasing) in our series. It fails to identify non stationarity when the series has only a seasonal component.

You should always always use more than one test to identify stationarity. For example, in this case, you can visually see that the series is not stationary. You can use other statistical tests (KPSS or Phillips-Perron) to verify the same.


#3

Ok thank you.
I’ll try these tests.


#4

An update on this answer.

There are two types of stationary tests - unit root (difference - stationary) and trend-stationary.
ADF and PP tests are to test unit root stationarity while KPSS is to check trend stationarity. It is advised to perform both ADF and KPSS before coming to a conclusion.