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词汇 Unit root
分类 英语词汇 英语翻译词典
释义

Unit root

中文百科

单位根 (计量经济学)

在计量经济学的自回归模型里，如果在y_{t}=a+by_{t-1}+\varepsilon_{t}里，系数|b|=1，那幺一个单位根是存在的。其中：y_{t} 是在t 时刻的变量，b 是斜率系数，\varepsilon_{t} 是误差项。

如果单位根存在，时间串行可以说是有一个随机趋向。

英语百科

Unit root 单位根 (计量经济学)

The diagram above depicts an example of a potential unit root. The red line represents an observed drop in output. Green shows the path of recovery if the series has a unit root. Blue shows the recovery if there is no unit root and the series is trend-stationary. The blue line returns to meet and follow the dashed trend line while the green line remains permanently below the trend. The unit root hypothesis also holds that a spike in output will lead to levels of output higher than the past trend.
Mehrere Realisationen eines in Null startenden Random Walks

A unit root is a feature of processes that evolve through time that can cause problems in statistical inference involving time series models.

A linear stochastic process has a unit root if 1 is a root of the process's characteristic equation. Such a process is non-stationary. If the other roots of the characteristic equation lie inside the unit circle—that is, have a modulus (absolute value) less than one—then the first difference of the process will be stationary.
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