Unit Roots in Time Series Models: Tests and Implications

The American StatisticianPublished 1 February 1986

David A. Dickey, William R. Bell, Robert B. Miller

DOI10.1080/00031305.1986.10475349

Source URL

Citations429

SJR quartileQ1

SJR score0.78

SNIP1.50

Abstract

Abstract 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. Key Words: Time seriesNonstationaryUnit rootHypothesis test

Keywords

Decision SciencesEconomics, Econometrics and Finance