2008 | OriginalPaper | Chapter
Testing for the Order of Integration
Published in: Analysis of Integrated and Cointegrated Time Series with R
Publisher: Springer New York
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This chapter is the first in which the theoretical aspects laid out in Part I of the book are put into “practice.” We begin by introducing the most commonly employed unit root tests in econometrics: the
Dickey-Fuller
test and its extensions. To discriminate between trend- and difference-stationary time series processes, a sequential testing strategy is described. Other unit root tests encountered in applied research are presented in the ensuing sections
.