Which of the following is used to test whether a time series follows a unit root process?
A)Wald test
B)White test
C)Augmented Dickey-Fuller test
D)Johansen test

Question

Quizplus · Accepted Answer

The Augmented Dickey-Fuller (ADF) test is used to test whether a time series follows a unit root process. The test compares the coefficient of a lagged dependent variable in a regression equation to a null hypothesis value of 1. If the coefficient is significantly less than 1, the null hypothesis of a unit root is rejected, indicating that the time series is stationary. The Wald test is a more general test for hypothesis testing in regression analysis, and the White test is used to test for heteroscedasticity. The Johansen test is used for cointegration analysis.

Which of the Following Is Used to Test Whether a Time