Unit Roots in Time Series Models: Tests and Implications

Authors
Dickey, David A. Bell, William R. Miller, Robert B.
Citation
A. Dickey, David et al., Unit Roots in Time Series Models: Tests and Implications, American statistician , 40(1), 1986, pp. 12-26
Journal title
American statistician → ACNP
ISSN journal
00031305
Volume
40
Issue
1
Year of publication
1986
Pages
12 - 26
Database
ACNP
SICI code
Abstract
The decision on whether or not to include a unit root in an autoregressive operator has profound implications.Formal tests for the presence of unit roots give analysts objective guidance in this decision.This article is a practical guide to the use of these tests.