# Infinite autocorrelation - Unit root?

I have a time series of gold prices, on which I want to build an ARIMA model. The series is autocorrelated and if I can difference as often as I want, it always is.

First: data: d1gold Dickey-Fuller = -18.5829, Lag order = 19, p-value = 0.01 alternative hypothesis: stationary

Second: data: d2gold Dickey-Fuller = -32.6297, Lag order = 19, p-value = 0.01 alternative hypothesis: stationary .. and so on.

What can I do to fit the data in an ARIMA model? Data: https://drive.google.com/file/d/0B7cBu_0IHA17a1lQUlpsS1BJXzg/edit?usp=sharing

Best Regards Erik

• Please clarify the titel of your question. What does "infinite" autocorrelation mean? ;) – Ric Jun 23 '14 at 6:53

Check your calculations, gold prices are indeed auto-correlated. acf(diff(log(OilGold\$price_gold))) will yield no auto-correlation in gold log-returns.