Conigliani, Caterina; Spezzaferri, F. - Dipartimento di Economia, Università degli Studi di Roma 3 - 2002
In this paper we deal with the identification of an autoregressive model for an observed time series, and the detection of a unit root in its characteristic polynomial. This is a big issue concerned with distinguishing stationary time series from time series for which differencing is required to...