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Line 18: == Main tests == A commonly used 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]] by extending the work by [[John von Neumann]], and [[James Durbin]] and [[Geoffrey Watson]]. In the observed time series cases, for example, ~~Sargan-Bhargava~~Sargan–Bhargava statistics test the unit root null hypothesis in first order autoregressive models against one-sided alternatives, i.e., if the process is stationary or explosive under the alternative hypothesis. Other popular tests include:

Unit root test: Difference between revisions