Integrated Processes and Unit Root Testing
0:00:00 Order of integration (example)
0:08:05 Order of integration (definition)
0:16:26 Order of integration and long run covariance
0:29:28 Spurious regression
0:35:42 Trend stationarity
0:39:38 Unit root testing (model 3)
0:54:36 Unit root testing (model 2)
0:57:06 Unit root testing (model 1)
1:01:05 Unit root testing (overview)
1:11:32 Unit root testing (example)
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.
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Phillips, P. C. B. (1986): Understanding Spurious Regressions in Econometrics. Journal of Econometrics, 33 (3), 311-340.
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