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Stationarity
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MindStat Econo
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freq annual start 1975 smpl 1980 2020 ols "GDP Growth" Inflation "Interest Rate" store as eq1 diag eq1 forecast eq1 8 plot eq1
Δ
ln
Δln
L1
%
Hold
Trend
Mean
ADF
PP
DF-GLS
Ng-Perron
Constant
Trend
Both
Schwert k_max
AIC
BIC
APA
Level
Trend
APA
Constant
Constant + Trend
📊
Demean only
Demean + Detrend
📊
No
Yes
p (AR)
d (I)
•
•
•
•
q (MA)
P (SAR)
D (SI)
Q (SMA)
α (CI level)
0.10 (90%)
0.05 (95%)
0.01 (99%)
ACF/PACF
APA
•
•
•
HP
BK
CF
Quarterly
Annual
Monthly
Custom λ
λ (HP)
📊
MSE
MAE
MAPE
📊
None
Recursive
Blanchard-Quah
APA
Never-treated
Not-yet-treated
DR — doubly robust (Sant'Anna–Zhao)
Regression adjustment
IPW
Varying (default)
Universal (g−1)
Rademacher (±1)
Webb 6-point
Production
Cost
Half-normal
Exponential
Truncated normal
Variable (VRS / BCC)
Constant (CRS / CCR)
Input
Output
p (ARCH)
q (GARCH)
GARCH — Standard
GJR-GARCH — Asymmetric (leverage effect)
EGARCH — Exponential (Nelson 1991)
Gaussian
Student-t
Sample
Constant
APA
APA
Engle-Granger
Johansen
Case 3
Case 1
Case 5
APA
Pooled OLS
Fixed Effects (FE)
Two-way fixed effects (entity and time)
Random Effects (RE)
Hausman Test
First Difference (FD)
Dynamic panel IV (Anderson-Hsiao 2SLS)
Between Effects (BE)
Mundlak / CRE
Fama-MacBeth
Blundell-Bond System GMM
Automatic — cluster, or Driscoll–Kraay if CD rejects
Cluster (entity, CR1)
Driscoll–Kraay
Classical
APA
|e| ~ X
|e| ~ √X
|e| ~ 1/X
|e| ~ 1/√X
|e| ~ X²
HC0 (White 1980)
HC1 (Stata default)
HC2 (Horn-Horn-Duncan)
HC3 (MacKinnon-White, recommended)
APA
III
I
V
AIC
BIC/SBC
APA
Auto (ADF)
d=1 (I(1) — most common)
d=2 (I(2))
d=0 (I(0))
APA
APA
Chow Test
Bai–Perron
CUSUM (Recursive)
CUSUMSQ
APA
OLS
2SLS / IV
APA
Time Series Line
First Differences
Log Returns
ACF
PACF
Periodogram
Spectral Density
Q-Q Plot
Max Lags
📈
A — Break in intercept
B — Break in trend
C — Break in both
📊
📊
📊
OLS
—
ADF
—
ARIMA
—
KPSS
—
VAR
—
Panel FE/RE
—
2SLS / IV
—
SARIMA
—
All columns
Selected columns
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