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Results tagged with unit-root
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user 64981
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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Explosive processes, non-stationarity and unit roots, how to distinguish?
I understand that if we have a simple model such as:
$$Y_t=\rho Y_{t-1}+\epsilon_t$$
where $\rho$ is less than one in absolute value then we have a stationary process. If $\rho$ equals one then we h …
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