Revision as of 10:02, 30 October 2020 edit Walwal20 (talk \| contribs) Extended confirmed users, Pending changes reviewers 1,374 edits →Main tests: Remove statement. It is pretty obvious isn't it? That's what all unit root tests should test anyway. ← Previous edit		Revision as of 16:09, 27 December 2020 edit undo MrOllie (talk \| contribs) Extended confirmed users, Pending changes reviewers, Rollbackers 255,705 edits →Main tests: apparently nonnotable Next edit →
Line 26: : here the null hypothesis is [[Trend-stationary process\|trend stationarity]] rather than the presence of a [[Stationary process\|unit root]]. [[ADF-GLS test]] * [[Sargan-Bhargava test]]<ref>{{cite journal\|author1=Elliott, G.\|author2=Rothenberg, T. J.\|author3=Stock, J. H.\|year=1992\|title=Efficient tests for an autoregressive unit root\|journal=National Bureau of Economic Research}}</ref>{{efn\|Developed by [[Denis Sargan]] and [[Alok Bhargava]].}} * [[Zivot–Andrews test]] Unit root tests are closely linked to [[Autocorrelation\|serial correlation]] tests. However, while all processes with a unit root will exhibit serial correlation, not all serially correlated time series will have a unit root. Popular serial correlation tests include: * [[Breusch–Godfrey test]]

Unit root test: Difference between revisions