Search results with tag "Unit root tests"

Unit Root Tests - University of Washington

This chapter is organized as follows. Section 4.2 reviews I(1) and trend stationary I(0) time series and motivates the unit root and stationary tests described in the chapter. Section 4.3 describes the class of autoregres-sive unit root tests made popular by David Dickey, Wayne Fuller, Pierre Perron and Peter Phillips.

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