PHYS 1061 Study Guide - Quiz Guide: Null Hypothesis, Test Statistic, Dependent And Independent Variables
Document Summary
Dickey fuller tests are also known as tests: , , . The null (h0) and alternative (h1) models in each case are. This is a test for a random walk against a stationary autoregressive process of order one (ar(1)) This is a test for a random walk against a stationary ar(1) with drift: h0: yt = yt-1+ut. This is a test for a random walk against a stationary ar(1) with drift and a time trend. Yt=ut where yt = yt- yt-1, and the alternatives may be expressed as. Yt = yt-1+ + t +ut with = =0 in case i), and =0 in case ii) and = -1. In each case, the tests are based on the t-ratio on the yt-1 term in the estimated regression of yt on yt-1, plus a constant in case ii) and a constant and trend in case iii). The test statistics are defined as test statistic =
