yksikköjuuriprosessit
Yksikköjuuriprosessit, often translated as unit root processes, are a fundamental concept in time series analysis. A time series is said to have a unit root if the autoregressive polynomial has a root equal to one. This implies that past shocks or disturbances to the series have a permanent effect, meaning they do not decay over time.
In simpler terms, a unit root process is characterized by its non-stationary nature. This means its statistical
The presence of a unit root is crucial because it violates the assumptions of many standard econometric
Common tests for unit roots include the Augmented Dickey-Fuller (ADF) test and the Phillips-Perron (PP) test.