unit root - SPUR ECONOMICS

Dickey Fuller Test of Stationarity

The Dickey Fuller Test is a unit root based test of stationarity. The unit root based tests focus on the coefficient associated with the first lag of the time series…

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January 26, 2023

Econometrics / Time Series

Stationarity and Stationary Time Series

A time series is said to be stationary if its characteristics do not change with time. A stationary time series can be identified as strictly stationary or weak stationary. Strict…

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January 23, 2023

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