In statistics

Statistics

Statistics is the study of the collection, organization, analysis, and interpretation of data. It deals with all aspects of this, including the planning of data collection in terms of the design of surveys and experiments....

, a unit root test tests whether a time series

Time series

In statistics, signal processing, econometrics and mathematical finance, a time series is a sequence of data points, measured typically at successive times spaced at uniform time intervals. Examples of time series are the daily closing value of the Dow Jones index or the annual flow volume of the...

 variable is non-stationary using an autoregressive model. A well-known test that is valid in large samples is the augmented Dickey–Fuller test. The optimal finite sample tests for a unit root in autoregressive models were developed by John Denis Sargan and Alok Bhargava

Alok Bhargava

Alok Bhargava is an Indian econometrician. He studied mathematics at Delhi University and economics and econometrics at the London School of Economics. He is currently a full professor of economics at the University of Houston....

. Another test is the Phillips–Perron test. These tests use the existence of a unit root

Unit root

In time series models in econometrics , a unit root is a feature of processes that evolve through time that can cause problems in statistical inference if it is not adequately dealt with....

 as the null hypothesis

Null hypothesis

The practice of science involves formulating and testing hypotheses, assertions that are capable of being proven false using a test of observed data. The null hypothesis typically corresponds to a general or default position...

.