主题：【原创】谈谈时间序列的平稳性（1） -- 万里风中虎
1. 中国股市是否有上升趋势，如果有，数据就是非平稳的
Trend->non-stationarity is not equivalent to non-stationarity->Any trend, not to mention you claim up trend.
2. ADF test fails to reject non-stationarity,but it also rejects time trend (I assume '_trend' is time trend t). Honestly, failing to reject unit root is not impressive at all-it's supposed to fail on any stock price.
3. Since price fails ADF test, I would be extremely cautious when running OLS as the results may be spurious. I don't know your definition of variable 'number'. But did you check non-stationarity of this series and cointegration between X and Y?
4. I think mean-reversion model is a better candidate for your investigation of this topic
- 相关回复 上下关系8
🙂西门里也是大牛，谢谢你的宝 眭村散人 字126 2010-02-07 04:50:20
🙂del simonli 字0 2010-02-07 05:34:52
🙂我是23以上卖的，当时还发了帖子。 1 万里风中虎 字0 2010-02-04 05:19:16
🙂Questions
🙂意见很对，所以我说是一个最简单的预测 2 万里风中虎 字117 2010-02-03 15:18:40
🙂It's not a simple model 5 静默各自想拳经 字414 2010-02-04 00:44:13
🙂这当然是个misspecified的模型 4 万里风中虎 字355 2010-02-04 05:52:35
🙂No offence, but... 1 静默各自想拳经 字788 2010-02-04 09:36:50