Augmented Dickey-Fuller test

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In statistics, an augmented Dickey-Fuller test is a test for a unit root in a time series sample. It is a version of the Dickey-Fuller test for a larger and more complicated set of time series models . The augmented Dickey-Fuller (ADF) statistic, used in the test, is a negative number. The more negative it is, the stronger the rejection of the hypothesis that there is a unit root at some level of confidence.

[edit] Reference

  • Said E. and David A. Dickey (1984), "Testing for Unit Roots in Autoregressive Moving Average Models of Unknown Order", Biometrika, 71, p 599–607.

[edit] See also

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