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Book Chapter

Unit Root Tests

  • Zivot E
  • Wang J
Springer New York, (2003), 105-127
DOI: 10.1007/978-0-387-21763-5_4
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Abstract

Many economic and financial time series exhibit trending behavior or non-stationarity in the mean. Leading examples are asset prices, exchange rates and the levels of macroeconomic aggregates like real GDP. An important econometric task is determining the most...

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Zivot, E., & Wang, J. (2003). Unit Root Tests. In Modeling Financial Time Series with S-Plus® (pp. 105–127). Springer New York. https://doi.org/10.1007/978-0-387-21763-5_4

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