A unit root exists when
A)the parameter on the AR(1)process is equal to 0.
B)an explosive time-series exists.
C)a time-series is a stable AR(1).
D)the parameter on the AR(1)process is equal to 1.

Question

Quizplus · Accepted Answer

A unit root exists when the parameter on the AR(1) process is equal to 1. This means that the time-series is non-stationary and has a stochastic trend. A value of 0 for the parameter would indicate stationarity and a stable AR(1), while a value greater than 1 would indicate an explosive time-series.

A Unit Root Exists When