Abstract
A process might be non-stationary without being a unit root. The two concepts are related, but they are not identical and it is common to confuse the two. We can have non-stationarity without it being due to a unit root. We could have a seasonal model. Or, we could have a deterministic trend. (We can even have non-stationarity because the variance is changing over time.)
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Notes
- 1.
Sephton (2017) provides updated critical values for the KPSS test for use with small samples. If it isn’t already installed on your computer, install it by:
- 2.
Please keep in mind that failure to reject does not mean that we “accept.” Still, sometimes it is useful to think in these simpler terms.
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Levendis, J.D. (2018). Unit Root Tests. In: Time Series Econometrics. Springer Texts in Business and Economics. Springer, Cham. https://doi.org/10.1007/978-3-319-98282-3_7
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