Unit Root Test

Please note that the content of this book primarily consists of articles available from Wikipedia or other free sources online. In statistics, a unit root test tests whether a time series variable is non-stationary using an autoregressive model. The most famous test is the augmented Dickey-Fuller test. Another test is the Phillips-Perron test. Both these tests use the existence of a unit root as the null hypothesis. In statistics and econometrics, an augmented Dickey-Fuller test is a test for a unit root in a time series sample. It is an augmented version of the Dickey-Fuller test for a larger and more complicated set of time series models. The augmented Dickey-Fuller statistic, used in the test, is a negative number. The more negative it is, the stronger the rejection of the hypothesis that there is a unit root at some level of confidence.