In statistics, a unit root test tests whether a time series variable is non-stationary using an autoregressive model. A well-known test that is valid in large samples is the augmented Dickey–Fuller test. The optimal finite sample tests for a unit root in autoregressive models were developed by John Denis Sargan and Alok Bhargava. Another test is the Phillips–Perron test. These tests use the existence of a unit root as the null hypothesis.
Famous quotes containing the words unit, root and/or test:
“During the Suffragette revolt of 1913 I ... [urged] that what was needed was not the vote, but a constitutional amendment enacting that all representative bodies shall consist of women and men in equal numbers, whether elected or nominated or coopted or registered or picked up in the street like a coroner’s jury. In the case of elected bodies the only way of effecting this is by the Coupled Vote. The representative unit must not be a man or a woman but a man and a woman.”
—George Bernard Shaw (1856–1950)
“And a man of tan engages
For the springtime of her pride,
Eats the green by easy stages,
Nibbles at the root beneath
With intimidating teeth.”
—Gwendolyn Brooks (b. 1917)
“The test of a real comedian is whether you laugh at him before he opens his mouth.”
—George Jean Nathan (1882–1958)