Unit root test: Difference between revisions

Revision as of 19:45, 27 May 2020

Revision as of 17:40, 3 July 2020

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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 [[Stationary process|stationarity]], [[Trend -stationary process|trend stationarity]] or explosive root depending on the test used.

== General approach ==

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Other popular tests include:

* [[Phillips–Perron test]]

* [[KPSS test]] (in which the null hypothesis is [[Trend -stationary process|trend stationarity]] rather than the presence of a [[Stationary process|unit root]])

* [[ADF-GLS test]]

* [[Zivot–Andrews test]]