root test


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root test

[′rüt ‚test]
(mathematics)
An infinite series of nonnegative terms an converges if, after some term, the i th root of ai is less than a fixed number smaller than 1.
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Unit Root test: Level of stability series expressed by Dickey and Fuller (1981) is defined by the Augmented Dickey Fuller (ADF) unit root test (Seddighi et al.
Afterwards we would also apply Pesaran CIPS (2007) unit root test for checking whether there prevails any cross-sectional dependence.
Fort his analysis Carrion-i Silvestre unit root test was used in the research.
The Zivot and Andrews (ZA) unit root test indicates sensitivity to structural breaks (a) in the intercept, (b) in the intercept and trend.
1999), Papadopoulous and Sidiropoulos ( 1999), and Jha and Sharma (2004) employ the ZA (1992) unit root test, while the latter two studies apply the Gregory and Hansen (1996) cointegration test.
Subsequently, the first undertaking in this empirical analysis is to implement unit root test in order to recognize whether the study time series are stationary or non-stationary.
Unit root test (to test the stationarity of the sample currencies against USD),
2002) makes use of a time series approach, utilizing a minimum Lagrange multiplier unit root test which endogenously determines two structural breaks in level and trend.
Therefore, the IPS, Fisher-ADF and Fisher-PP these three kinds of unit root test method, in order to avoid the single method of test for defects.
The tests conducted are Zivot Andrews (1992) unit root test (ZV), Perron (1989) unit root test (P) and Lumsdaine-Papell (1997) Unit root test (LP).
The unit root test at level using Dickey-Fuller test showed that all results were non-stationary and the same test on first difference presents all variables were stationary.
6 First, we diagnose if the inflation series has infinite persistence7 using Phillips-Perron unit root test.