Unit Root Testing¶
Many time series are highly persistent, and determining whether the data appear to be stationary or contains a unit root is the first step in many analyses. This module contains a number of routines:
Augmented Dickey-Fuller (
Dickey-Fuller GLS (
Variance Ratio (
Automatic Bandwidth Selection (
The first four all start with the null of a unit root and have an alternative of a stationary process. The final test, KPSS, has a null of a stationary process with an alternative of a unit root.
The module extended the single-series unit root testing to multiple series and cointegration testing and cointegrating vector estimation.