Unit root test

In statistics, a unit root test tests whether a time series variable is non-stationary using an autoregressive model. A well-known test that is valid in large samples is the augmented Dickey–Fuller test. The optimal finite sample tests for a unit root in autoregressive models were developed by Denis Sargan and Alok Bhargava. Another test is the Phillips–Perron test. These tests use the existence of a unit root as the null hypothesis.

See also

• Augmented Dickey–Fuller test
• Dickey–Fuller test
• Phillips–Perron test
• KPSS test
• Zivot–Andrews test

References

• Bierens, H.J. (2001). "Unit Roots," Ch. 29 in A Companion to Econometric Theory, editor B. Baltagi, Oxford: Blackwell Publishers, 610–633. "2007 revision"
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