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Posted by u/ysharm10 5 months ago

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[Q] What does it mean when adf and kpss shows contradictory results?
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Hello! I am working with a time series data. When I run adf test, it implies that the data is not
stationary but kpss says it's stationary. I've done my research before posting here but it didn't really This is a subreddit for discussion on all
help me make my decision what model should I go for. According to what I read, adf presumes that things dealing with statistical theory,
there's atleast one differencing required until it finds obvious reasons to reject that hypothesis software, and application. We welcome all
whereas kpss assumes it's stationary until finds strong reason to reject that hypothesis. Auto arima researchers, students, professionals, and
picks (5,0,0) model since by default it goes by kpss to test. However, if I difference by one then the best enthusiasts looking to be a part of an
model is (0,1,0) which is a random walk model, don't know how useful it is. In such situation how to online statistics community.
know what test is meant for your data?
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Thanks!

Edit: Every test other than kpss indicates the data might be non stationary
Created 13 Mar 2008

Time series and acf plot:

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machine-learning-bro 5 months ago

I cannot comment on your exact question. But what I can say from experience is don’t spend too
much time on this aspect other than for your own edification and intellectual satisfaction. It
doesn’t seem like your end goal is to prove stationary vs non-stationary - you said it’s for selecting
a best model to use. It is interesting that two tests are giving contradictory results. r/statistics Rules

But at the end of day, you want to pick a model based on ur best judgement or an educated guess
(all other tests seem to indicate non-stationary) and then kinda just run with it (and keep these 1. This is not a subreddit for homework
findings in ur back pocket in case they actually prove a point u didn’t realize till later). I work with a questions.
lot of time series data too, but i work in a clinical context. I’m biased in that I always look at
2. Please try to keep submissions on topic
something if it has utility. Ive spent too much time in my PhD fiddling with with data to make sure
and of high quality.
it follows assumptions, where at the end of day I kinda just gotta see how the model performs on
predicting patient outcomes. Lol sorry, I’ll get off my soap box tho. Interesting questions! 3. Just because it has a statistic in it
doesn't make it statistics.
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ysharm10 ) 5 months ago acceptable forms of content.
Thanks for commenting! I'll definitely take this advice in consideration especially if it's coming
from someone like you who has worked with time series based model. Also, Can (0,1,0) model 5. Self posts with throwaway accounts will
be deleted by AutoModerator.
ever be put in use on real data? I'm sorry I don't have much experience with random walk model

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efrique 5 months ago · edited 5 months ago

If I understand your post correctly, both tests failed to reject the null Related Communities

A failure to reject the null doesn't mean the null is true (which is how you seemed to be framing r/AskStatistics
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your discussion of both tests). It means you failed to find enough evidence to reject it. 40,800 members

This would be very common if the series are short r/MachineLearning

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ysharm10 ) 5 months ago 15,641,172 members

Yes, failed to reject both hypothesis. My data is in weeks and I have 60 weeks of data. So yeah
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it's not that long. What do you suggest should be the approach in such situations? Join
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efrique 5 months ago · edited 5 months ago
I'd normally try to avoid testing to identify models at all. Among many other issues, it simply r/datascience
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answers the wrong question. 449,633 members

Usually I start with thinking about/reading about/researching the nature of my variables very r/biostatistics
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carefully. If I felt I had to test for some reason, I'd try to avoid testing the specific data I
needed a model for, but other, closely related data (e.g. same variable in a different time
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Note that if you're choosing between models by testing on the data you're modelling, that r/Python
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intervals, prediction intervals and so on; they no longer have their nominal properties.
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practice. Definitely don't get me started on Jarque-Bera tests, we could be here a long time
picking those apart.]
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ysharm10 ) 5 months ago Statistics Question

I understand your point and I'll definitely keep in mind. But for something like a
univariate time series data, does it make sense to analyze some other data than on the Research/Article
one you want a model? Every time series will be different. Sorry if I didn't get your point.
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efrique 5 months ago · edited 5 months ago Career Advice

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Every time series will be different
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1. Your sample's already too small to do model selection on
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2. If you want to use the data to select the model without screwing with the
properties of your inference, you would need to split your data into a subset for
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model selection and the remainder for inference. Since your sample size was so + Message the mods
small I figured you'd prefer to consider approaches that wouldn't cost you most
of your data u/TheShittyBeatles

3. You seem to be hung up on getting "the right" model rather than a useful model. u/feedmahfish
This is a hopeless task, even more so with small samples.
u/keepitsalty MSCS | Bayes for Days
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azatryt 5 months ago
Maybe you should consider repeating the ADF test with different lags (the “right” number should VIEW ALL MODERATORS
be suggested by theory or previous literature) or maybe including drift/trend options depending
on your data. I don’t know what software you are using but Stata has options for all of these
features, maybe give the user manual page for that command a read. Also, the Dickey-Fuller test ADVERTISEMENT
has low statistical power for near-unit root processes.

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ysharm10 ) 5 months ago

Got it! I'll try that. Thanks!

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badge 5 months ago

I don’t have any good ideas, but just to check—I assume you know that the null hypotheses of the
ADF and KPSS tests are opposite (so to speak)?

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ysharm10 ) 5 months ago

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