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Unit root test

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Title: Unit root test  
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Subject: Johansen test, KPSS test, Asymptotic theory (statistics), Time series analysis, Statistical tests
Collection: Statistical Tests, Time Series Analysis
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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

  • Bierens, H.J. (2001). "Unit Roots," Ch. 29 in A Companion to Econometric Theory, editor B. Baltagi, Oxford: Blackwell Publishers, 610–633. "2007 revision"
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