"root" nach Englisch mit Beispielen - Kollokationen-Wörterbuch Englisch
- Test for a unit root with drift and deterministic time trend:
- In statistics, a unit root test tests whether a time series variable is non-stationary using an autoregressive model.
- These tests use the existence of a unit root as the null hypothesis.
- A linear stochastic process has a unit root if 1 is a root of the process's characteristic equation.
- The first order autoregressive model, , has a unit root when .
- If the process has a unit root, then it is a non-stationary time series.
- However, if the presence of a unit root is not rejected, then one should apply the difference operator to the series.
- If the process has multiple unit roots, the difference operator can be applied multiple times.
- Economists debate whether various economic statistics, especially output, have a unit root or are trend stationary.
- This line of work is also extended to the case of two series, both of which have a unit root but are cointegrated.
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