Keywords

#unit_root_test

Unit root test

Time series statistical test

In statistics, a unit root test tests whether a time series variable is non-stationary and possesses a unit root. The null hypothesis is generally defined as the presence of a unit root and the alternative hypothesis is either stationarity, trend stationarity or explosive root depending on the test used.

Wed 30th

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Unit root test Unit root Augmented Dickey–Fuller test Dickey–Fuller test KPSS test ADF-GLS test Phillips–Perron test Johansen test Rational root theorem Order of integration
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