giorgio10

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