In time series models in econometrics (the application of statistical methods to economics), a unit root is a feature of processes that evolve through time that can cause problems in statistical inference if it is not adequately dealt with.
A linear stochastic process has a unit root if 1 is a root of the process's characteristic equation. Such a process is non-stationary. If the other roots of the characteristic equation lie inside the unit circle — that is, have a modulus (absolute value) less than one — then the first difference of the process will be stationary.
Read more about Unit Root: Definition, Example, Related Models, Estimation When A Unit Root May Be Present, Properties and Characteristics of Unit-root Processes, Unit Root Hypothesis
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