Unit root test
In statistics, a unit root test tests whether a time series variable is non-stationary using an autoregressive model. A well-known test that is valid in large samples is the augmented Dickey–Fuller test. The optimal finite sample tests for a unit root in autoregressive models were developed by Denis Sargan and Alok Bhargava. Another test is the Phillips–Perron test. These tests use the existence of a unit root as the null hypothesis.
See also
References
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|doi=10.2307/2297634instead. - Bierens, H.J. (2001). "Unit Roots," Ch. 29 in A Companion to Econometric Theory, ed B. Baltagi, Oxford, Blackwell Publishers, 610–633. "2007 revision"
- Enders, Walter (2004). Applied Econometric Time Series (Second ed.). New York: John Wiley. pp. 170–175. ISBN 0-471-23065-0.
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