Unit Root Test
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High Quality Content by WIKIPEDIA articles! In statistics, a unit root test tests whether a time series variable is non-stationary using an autoregressive model. The most famous test is the augmented Dickey Fuller test. Another test is the Phillips Perron test. Both these tests use the existence of a unit root as the null hypothesis. In statistics and econometrics, an augmented Dickey Fuller test is a test for a unit root in a time series sample. It is an augmented version of the Dickey Fuller test for a larger and more complicated set of time series models. The augmented Dickey Fuller…mehr

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High Quality Content by WIKIPEDIA articles! In statistics, a unit root test tests whether a time series variable is non-stationary using an autoregressive model. The most famous test is the augmented Dickey Fuller test. Another test is the Phillips Perron test. Both these tests use the existence of a unit root as the null hypothesis. In statistics and econometrics, an augmented Dickey Fuller test is a test for a unit root in a time series sample. It is an augmented version of the Dickey Fuller test for a larger and more complicated set of time series models. The augmented Dickey Fuller statistic, used in the test, is a negative number. The more negative it is, the stronger the rejection of the hypothesis that there is a unit root at some level of confidence.