Unit Root Tests

John D. Levendis
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John D. Levendis: Loyola University New Orleans

Chapter Chapter 7 in Time Series Econometrics, 2023, pp 143-173 from Springer

Abstract: Abstract A process might be nonstationary without being a unit root. The two concepts are related, but they are not identical and it is common to confuse the two. A data series might be nonstationary because of a deterministic trend. Or it could be explosive. Or it can have a variance that is changing over time. In this chapter we explore some of the more common unit root tests and stationarity tests, including the Augmented Dickey-Fuller and Phillips-Perron tests

Date: 2023
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DOI: 10.1007/978-3-031-37310-7_7

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