Testing for the Order of Integration

Part of the Use R! book series (USE R)

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.


Unit Root Unit Root Test Gross National Product Integration Order KPSS Test 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Copyright information

© Springer Science+Business Media, LLC 2008

Personalised recommendations