ADF-GLS Test

A ADF-GLS Test is a statistical test for a unit root in an economic time series sample.

• AKA: DF-GLS Test.
• See: Augmented Dickey–Fuller Test, Statistical Test, Time Series Analysis.

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References

2016

• (Wikipedia, 2016) ⇒ http://en.wikipedia.org/wiki/ADF-GLS_test Retrieved 2016-08-13
  • In statistics and econometrics, the ADF-GLS test (or DF-GLS test) is a test for a unit root in an economic time series sample. It was developed by Elliott, Rothenberg, and Stock (ERS) in 1992 as a modification of the augmented Dickey–Fuller test (ADF).

A unit root test determines whether a time series variable is non-stationary using an autoregressive model. For series featuring deterministic components in the form of a constant or a linear trend then ERS developed an asymptotically point optimal test to detect a unit root. This testing procedure dominates other existing unit root tests in terms of power. It locally de-trends (de-means) data series to efficiently estimate the deterministic parameters of the series, and use the transformed data to perform a usual ADF unit root test. This procedure helps to remove the means and linear trends for series that are not far from the non-stationary region.

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