Economics · Time Series Econometrics - Unit Root
Standard unit root tests (e.g., ADF test) for time series analysis are based on the null hypothesis that the series is:
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- 1Stationary (integrated of order zero, I(0))
- 2Non-stationary (has a unit root, integrated of order I(d) where d ≥ 1)✓
- 3Cointegrated with another series
- 4Normally distributed
Correct answer
Non-stationary (has a unit root, integrated of order I(d) where d ≥ 1)
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