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Results tagged with unit-root
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user 8991
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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votes
Intuitive explanation of unit root
Imagine two $AR(1)$ processes:
Process 1: $v_k = 0.5 v_{k-1} + \epsilon_{k-1}$
Process 2: $v_k = v_{k-1} + \epsilon_{k-1}$
$\epsilon_i$ is drawn from $N(0,1)$
Process 1 has no unit root. Process …
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