Construct · 1 fields · 1 citations

unit root: a standalone construct

One name. One construct. A landmark on the map.

● anchor · a standalone construct Nearest construct by meaning·not indexed

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Econometrics

a property of a time series whose shocks never die out, so the series wanders without returning to a fixed mean.

In econometrics, unit root refers to a property of a time series whose shocks never die out, so the series wanders without returning to a fixed mean. This meaning comes from Dickey (1979) in Journal of the American Statistical Association.[1]

Unit
Recovery means
Measured by

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Nearby constructs

association4 fields · 4 citationsjingle · one word, four constructs KPSS test1 fields · 1 citationsanchor · a standalone construct mean3 fields · 6 citationsjingle · one word, three constructs

References

Dickey, D. A., & Fuller, W. A. (1979). Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, 74(366a), 427-431. https://doi.org/10.1080/01621459.1979.10482531

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