The Kansas Palmer Drought Severity Index, Unit Roots, and Snakes in a Room

In my post on modeling the Kansas economy, Rick Stryker takes me to task for modeling the Palmer Drought Severity Index (PDSI) for Kansas as an I(1) process:

I wouldn’t bother with the ADF test, since its null is non-stationarity and it has low power to reject. I would focus on the KPSS, since its null of stationarity is almost certainly what’s really true.

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