A unit root is a feature of processes that evolves through time that can cause problems in statistical inference involving time series models. A linear stochastic process has a unit root if 1 is a root of the process’s characteristic equation. Such a process is non-stationary. If the other roots of the characteristic equation lie inside the unit circle—that is, have a modulus (absolute value) less than one—then the first difference of the process will be stationary.

http://…/intuitive-explanation-of-unit-root

http://…/08_unitroottests_2pp.pdf … Unit Root Processes

# If you did not already know: “Unit Root Processes”

**24**
*Wednesday*
Jun 2015

Posted What is ...

in