About this document
ADF Test for Time Series Stationarity by Haidar Ismail is a document available to read on EtoBox.
1) The document discusses unit root tests and the Augmented Dickey-Fuller (ADF) test to determine if a time series is stationary or integrated. 2) A series has a unit root if it follows a random walk process and is non-stationary but can be made stationary by differencing. Such a series is said to be integrated of order 1 or I(1). 3) The ADF test tests the null hypothesis that a unit root is present (non-stationary series) by examining if the coefficient on the lagged level of the series is statistically
- Author
- Haidar Ismail
- Language
- EN