单位根 (计量经济学)




在计量经济学的自回归模型裡，如果在yt=a+byt−1+εt{displaystyle y_{t}=a+by_{t-1}+varepsilon _{t}}{displaystyle y_{t}=a+by_{t-1}+varepsilon _{t}}裡，系数|b|=1{displaystyle |b|=1}{displaystyle |b|=1}，那么一个单位根是存在的。其中：yt{displaystyle y_{t}}{displaystyle y_{t}} 是在t 时刻的变量，b 是斜率系数，εt{displaystyle varepsilon _{t}}{displaystyle varepsilon _{t}} 是误差项。


如果单位根存在，时间序列可以说是有一个随机趋向。



参见


  • 迪基-福勒检验







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