A unit root (also called a unit root process or a difference stationary process) is a stochastic trend in a time series, sometimes called a “random walk ...
In probability theory and statistics, a unit root is a feature of some stochastic processes (such as random walks) that can cause problems in statistical ...
In statistics, a unit root test tests whether a time series variable is non-stationary and possesses a unit root. The null hypothesis is generally defined ...
Unit root tests can be used to determine if trending data should be first differenced or regressed on deterministic functions of time to render the data ...
由 A Levina 著作 · 2002 · 被引用 17608 次 — Abstract. We consider pooling cross-section time series data for testing the unit root hypo- thesis. The degree of persistence in individual regression ...
Testing for a unit root is now an essential part of time series analysis. This volume provides a critical overview and assessment of tests for a unit root ...
2023年10月11日 — A time series has a unit root if any of its solutions from the characteristic equation is 1. This leads to a changing variance through time, ...