What type of data warrants the use of an augmented Dickey-Fuller?

1 Answer
Mar 16, 2016

Dickey–Fuller test larger and more complicated set of time series models for stationarity.

Explanation:

An augmented Dickey–Fuller test (ADF) is a test for a unit root in a time series sample. It is an augmented version of the Dickey–Fuller test for a larger and more complicated set of time series models. The augmented Dickey–Fuller (ADF) statistic, used in the test, is a negative number. The more negative it is, the stronger the rejection of the hypothesis that there is a unit root at some level of confidence. What do I mean larger more complicated set of time series this higher order AR time series for instance. The main objective of ADF is to test for Stationarity...