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Augmented Dickey-Fuller unit root test/Evidence
Method evidence record

Augmented Dickey-Fuller unit root test

The Augmented Dickey-Fuller test is the standard procedure for determining whether a univariate time series contains a unit root — that is, whether the series is non-stationary. It extends the original Dickey-Fuller test by including lagged difference terms that absorb serial correlation in the residuals, making the test valid for a wide range of time-series processes encountered in economics and finance.

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Augmented Dickey-Fuller Unit Root Test
Taxonomic method record · regression-model / econometrics
  • Said, S. E., & Dickey, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika, 71(3), 599–607. · DOI 10.1093/biomet/71.3.599
  • Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366), 427–431. · DOI 10.2307/2286348
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Related methods

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Taxonomic bucketARIMA modelmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketEngle-Granger Cointegration Testmachine-suggested · Relational suggestion, not evidence.Same method familyKPSS Testmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketPhillips-Perron unit root testmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketZivot-Andrews Structural Break Testmachine-suggested · Relational suggestion, not evidence.

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Bibliographic sources are present. Claim-level evidence review has not been performed.

Sources

2 recorded citations, copied from the method source record.

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