Unit Root

Please note that the content of this book primarily consists of articles available from Wikipedia or other free sources online. In time series models in econometrics, a linear stochastic process has a unit root if 1 is a root of the process's characteristic equation. The process will be non-stationary. If the other roots of the characteristic equation lie inside the unit circle, then the first difference of the process will be stationary. In statistics, the Phillips-Perron test is a unit root test. That is, it is used in time series analysis to test the null hypothesis that a time series is I. It builds on the Dickey-Fuller test, but unlike the augmented Dickey-Fuller test, which extends the Dickey-Fuller test by including additional lagged variables as regressors in the model on which the test is based, the Phillips-Perron test makes a non-parametric correction to the t-test statistic to capture the effect of autocorrelation present when the underlying autocorrelation process is not and the error terms are not homoscedastic.

Pagina's: 92, Paperback, Betascript Publishers