Fidelity Investments Interview Question
Hypothesis behind the Unit Root Test for Stationarity in Time Series
Interview Answer
Anonymous
May 30, 2013
Y(t)=P*Y(t-1)+u(t) where Y(t) is the dependent variable at time period t and u(t) is random noise at time t Null hypothesis is that P=1 for non-stationarity and the test used is called Augmented Dickey Fuller test.