Augmented Dickey-Fuller Test

Augmented Dickey-Fuller test is based on the regression with the type:

Where α ρ-1.

The null and alternative hypotheses can be written down as follows:

H0: α = 0.

H1: α < 0.

The test is based on t - statistics:

Where:

Conclusions concerning hypotheses acceptance are based on unilateral MacKinnon distribution.

See also:

Library of Methods and Models | Tests for Unit Roots | ISmAugmentDickeyFullerTest