Hi, hoping somebody could clear this up for me.
In relation to the Dickey Fuller test Schweser states:
” If on the exam you are told the null (g=0) cannot be rejected, your answer is that the time series has no unit root”
Now if a time series exhibits a unit root (b=1) why is it, if you reject g=0, that the time series has no unit root? What am I missing here? If you reject g=0 that means that g=1 and therefore has a unit root???
In relation to the Dickey Fuller test Schweser states:
” If on the exam you are told the null (g=0) cannot be rejected, your answer is that the time series has no unit root”
Now if a time series exhibits a unit root (b=1) why is it, if you reject g=0, that the time series has no unit root? What am I missing here? If you reject g=0 that means that g=1 and therefore has a unit root???