You are trying to figure out which ARIMA model is the best fit for a dataset after trying different degrees of differencing and applying the Augmented Dicky-Fuller test on the differenced data. The test statistics were these:
Order of difference | ADF statistic | p-value |
---|---|---|
0 | 2.198 | 0.999 |
1 | -2.598 | 0.093 |
2 | -14.448 | 0.000 |
3 | -17.147 | 0.000 |
Which kind of ARIMA model should you fit to this time series data?