Pergunta de entrevista da empresa Fidelity Investments

Hypothesis behind the Unit Root Test for Stationarity in Time Series

Resposta da entrevista

Sigiloso

30 de mai. de 2013

Y(t)=P*Y(t-1)+u(t) where Y(t) is the dependent variable at time period t and u(t) is random noise at time t Null hypothesis is that P=1 for non-stationarity and the test used is called Augmented Dickey Fuller test.