标题: Unit root question [打印本页] 作者: dmar 时间: 2013-4-2 13:40 标题: Unit root question
Does unit root apply to AR model with multiple independent variables or only AR(1)?
If yes for above, is it that if any of the slope coefficient is 1, then we conclude the AR(p) has unit root?
Thanks for your help.作者: former 时间: 2013-4-2 13:41
I think it is if there is a lag slope coefficient equal to 1 then it has a unit root, ie not covariance stationary.作者: CFA4Techie 时间: 2013-4-2 13:42
it only applies to AR(1). Remember that a model with the unit root is a random walk. A random walk only has one lag coefficient. Thus the random walk is a special case of AR(1)
