# Questions tagged [unit-root]

A unit root is a property of a non-stationary time series which can lead to spurious regressions and wrong inference.

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### Intuitive explanation of unit root

How would you explain intuitively what is a unit root, in the context of the unit root test? I'm thinking in ways of explaining much like I've founded in this question. The case with unit root is ...
30k views

### What is the difference between a stationary test and a unit root test?

What is the difference between the Kwiatkowski–Phillips–Schmidt–Shin (KPSS) test and the augmented Dickey-Fuller (ADF) test? Are they testing the same thing? Or do we need to use them in different ...
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### Nice example where a series without a unit root is non stationary?

I've seen several times people reject the null in an augmented Dickey-Fuller test, and then claim that it shows their series is stationary (unfortunately, I cannot show the sources of these claims, ...
35k views

### Which Dickey-Fuller test for a time series modelled with an intercept/drift and a linear trend?

Short version: I have a time series of climate data that I'm testing for stationarity. Based on previous research, I expect the model underlying (or "generating", so to speak) the data to have an ...
42k views

### Test for cointegration between two time series using Engle–Granger two-step method

I am seeking to test for cointegration between two time series. Both series have weekly data spanning ~3 years. I am trying to do the Engle-Granger Two Step Method. My order of operations follows. ...
25k views

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### Connection of t-statistic and p-value in augmented Dickey-Fuller test

My project is about purchasing power parity (PPP). I am checking whether the real exchange rate of Canadian dollar(CAD)/US dollar(USD), Japanese Yen(JPY)/USD and Great Britain Pound(GBP)/USD has a ...
559 views

### Phillips-Perron Unit Root Test with exogenous breaks

I would need to do a Philips-Perron test in R, while controlling for an exogenous break. I found the Philips-Perron test in the package tseries (PP.test), but can't find (contrary to the CADF test) ...