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.
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© 2008 Springer Science+Business Media, LLC
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(2008). Testing for the Order of Integration. In: Analysis of Integrated and Cointegrated Time Series with R. Use R!. Springer, New York, NY. https://doi.org/10.1007/978-0-387-75967-8_5
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DOI: https://doi.org/10.1007/978-0-387-75967-8_5
Publisher Name: Springer, New York, NY
Print ISBN: 978-0-387-75966-1
Online ISBN: 978-0-387-75967-8
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