On Fri, 4 Jun 2010, lisa paul wrote: > Could someone explain to me the last bit of the ARMAX output? I would > think it means that there's a unit root (or explosive), but when I run > an augmented dickey-fuller test, it says no unit root...thanks!
I think you're referring to the 1.1403 in the bottom table. That is the root of the estimated AR polynomial (1 - 0.876993 L). In order for a process to be stationary (or, more correctly, stable) the roots of the AR polynomial must be greater than 1 in absolute value. Riccardo (Jack) Lucchetti Dipartimento di Economia Università Politecnica delle Marche r.lucchetti(a)univpm.it http://www.econ.univpm.it/lucchetti
