The estimated coefficient in the Dickey-Fuller Test
- Returns:
The coefficient.
- Return type:
float
Notes
The value returned is \(\hat{\rho}=\hat{\gamma}+1\) from the ADF
regression
\[\Delta y_t = \gamma y_{t-1} + \sum_{i=1}^p \delta_i \Delta y_{t-i}
+ \epsilon_t\]