senlinlang

pepp Wrote:
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> for AR use dickey fuller test.
> H0: b1-1 =0
> if rejected, then time is covariant stationary.
> If fail to reject, then b1 is indeed 1/has unit
> root.
>
>
> To correct unit root, do first differencing.
> A) Calculate yt = error = xt - x(t-1)
> B) Then state yt = b0 + b1 y(t-1) + e where
> b0=b1=0

All the tests before whether hetero, serial, Autoregression .. if we reject null = > model needs to be corrected however in this test, if we reject null then it is cov stationary and it doesnt have unit root? please confirm..