UnitRootTest

UnitRootTest[data] tests whether data came from an autoregressive time series process with unit root.

• UnitRootTest[data, model, "property"] returns the value of "property" for a given model.

A unit root indicates a non-stationary time series.

Examples

data = Accumulate[RandomVariate[NormalDistribution[], 100]];
UnitRootTest[data]

UnitRootTest[RandomReal[1, 100]]

UnitRootTest[data, Automatic, "PValue"]

*See the official Wolfram Language Reference for more details.