I am working on VAR- time series approach. When defining the lag, it gives me 4. However, when I apply the number of lags=4 to implement the Augmented Duckey filler test to check the stationarity, the null hypothesis will not be rejected for all variables, meaning that my data is not stationary. I tried doing the differencing, which didn't make sense as I had to reach d7 to achieve stationarity for some variables.

Then I tried reducing the lag number in ADF tests to 2, and then I was able to reject the null hypothesis.

I don't know what to do. Please help.

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