Unit Root Testing ----------------- .. module::arch.unitroot Many time series are highly persistent, and determining whether the data appear to be stationary or contains a unit root is the first step in many analyses. This module contains a number of routines: * Augmented Dickey-Fuller (:class:`~arch.unitroot.ADF`) * Dickey-Fuller GLS (:class:`~arch.unitroot.DFGLS`) * Phillips-Perron (:class:`~arch.unitroot.PhillipsPerron`) * KPSS (:class:`~arch.unitroot.KPSS`) * Zivot-Andrews (:class:`~arch.unitroot.ZivotAndrews`) * Variance Ratio (:class:`~arch.unitroot.VarianceRatio`) * Automatic Bandwidth Selection (:func:`~arch.unitroot.auto_bandwidth`) The first four all start with the null of a unit root and have an alternative of a stationary process. The final test, KPSS, has a null of a stationary process with an alternative of a unit root. .. toctree:: :maxdepth: 1 Introduction Unit Root Testing Examples Unit Root Testing Cointegration Analysis ---------------------- The module extended the single-series unit root testing to multiple series and cointegration testing and cointegrating vector estimation. * Cointegrating Testing * Engle-Granger Test (:class:`~arch.unitroot.cointegration.engle_granger`) * Phillips-Ouliaris Tests (:class:`~arch.unitroot.cointegration.phillips_ouliaris`) * Cointegrating Vector Estimation * Dynamic OLS (:class:`~arch.unitroot.cointegration.DynamicOLS`) * Fully Modified OLS (:class:`~arch.unitroot.cointegration.FullyModifiedOLS`) * Canonical Cointegrating Regression (:class:`~arch.unitroot.cointegration.CanonicalCointegratingReg`) .. toctree:: :maxdepth: 1 Cointegration Testing Examples Cointegration Testing and Estimation