Several Important Unit Root Tests

Abstract

Stationarity is an important property of time series. To determine the stationarity of time series is the premise and basis for further study. Unit root test or Stationarity test is the important method in testing series' stationarity in time series analysis, and the commonly used are DF, ADF and PP unit root test, KPSS stationarity test and Breitung nonparametric unit root test. In this paper, the principles and ideas of these commonly used unit root test (or stationarity test) are summarized, which provides theoretical reference and basis for the correct application of the unit root test or stationarity test method. It has been found that all these unit root (or stationary) tests have nonstandard asymptotic distributions and the critical values need to be obtained by simulation.