stationary

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Related to Stationarity: Autocorrelation

stationary

(stā′shŭn-ĕr-ē) [L. stationarius, belonging to a station]
Remaining in a fixed condition.
References in periodicals archive ?
The data series were checked for the stationarity using Augmented Dickey Fuller (ADF) Test.
The ADF test statistics result for leverage posted the value of -3.970499 with probability of 0.0003, which is greater than critical values of 1% which of -2.653401, 5% of -1.953858 and finally 10% of -1.609571 respectively confirms that leverage attained stationarity at first differencing.
Moreover, Trehan and Walsh (1991) observe that the stationarity of the variation in public debt stock is a sufficient condition.
Specifically, we employ deterministic trend (DT) model, if conventional unit root tests point to stationarity behaviour, while tests with structural breaks point to presence of unit root without breaks.
The standardized panel data statistic, Z ([lambda]), which, under the null hypothesis of variance stationarity and assumption of cross-sectional independence, is normally distributed as N (0,1) and it can be expressed as:
The chapter begins with a diagnostic analysis of the stationarity of the three variables (returns, inflation, and exchange rate) in the study.
Formal statistical tool for checking stationarity of the time series data is to go for Augumented Dickey Fuller (ADF) test it is used to know when to difference time series data to make it stationary.
At the end of the day, what the unit root wars taught us is that it is very difficult to say anything with much confidence about stationarity. We simply do not have enough data.
In order to find the relationship between historical and implied volatility, an examination of the level and stationarity of volatility over time becomes a prerequisite.
Figure-2 shows the plot for the two variables as a visual support for our conclusion on stationarity. No lags were added to the Dickey-Fuller tests because the error terms for the auxiliary regressions for the test did not have serial correlation.