Statistics Inference for stochastic processes and time series Concept
Dickey–Fuller test
Summary
The Dickey–Fuller test is a statistical test for an autoregressive time series. Its null hypothesis is a unit root, which means random-walk behaviour, and its alternative is stationarity. Its test statistic is an ordinary -ratio. Under the null hypothesis this ratio does not follow a Student or normal distribution, so special critical values are needed. David Dickey and Wayne Fuller introduced it in 1979, and its augmented version is a standard first step in the analysis of economic time series.
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| Tag | 26E0HYRDS8 |
|---|---|
| URI | m2://26E0HYRDS8 |
| Kind | concept |
| Writing | W0 stub |
| MSC | 62M07, 62M10, 91B84 |
| Specializes | Statistical hypothesis test |
| Same as |
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