Afrika Statistika

On the stability of the unit root test

Lynda Atil and Hocine Fellag

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We propose to study, by two different approaches, Bayesian and classical, the test of the hypothesis of stationary first order autoregressive model against the random walk model. Therefore, we are going to present the classical approach and the Bayesian approach of this test says the unit root test. The principal aim is to improve the unit root test, either with proposing a better statistic, or with proposing an adequate prior in order to make it more powerful.

Article information

Afr. Stat., Volume 5, Number 1 (2010), 228-237.

First available in Project Euclid: 1 January 2014

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Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

Primary: 62F11
Secondary: 62M10: Time series, auto-correlation, regression, etc. [See also 91B84]

Autoregressive model Dickey-Fuller test Posterior odds Power Unit root


Atil, Lynda; Fellag, Hocine. On the stability of the unit root test. Afr. Stat. 5 (2010), no. 1, 228--237.

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