What is Unit root in FRM Part 1?

A time-series property in which persistence equals one, making shocks permanent and the level nonstationary. Testing a coefficient against zero does not establish stationarity; unit-root tests use the boundary value and nonstandard critical values.

Unit root

FRM Part 1 glossary · Quantitative Analysis

Definition

A time-series property in which persistence equals one, making shocks permanent and the level nonstationary.

Unit root in plain English

Testing a coefficient against zero does not establish stationarity; unit-root tests use the boundary value and nonstandard critical values.

Learn these first

Stationarity

Related FRM Part 1 terms

Bayes' theorem
Bootstrapping (term structure)
Central limit theorem
Copula
Exponentially weighted moving average (EWMA)
Generalized Autoregressive Conditional Heteroskedasticity (GARCH)
Heteroskedasticity
Monte Carlo simulation
Ordinary least squares (OLS)
p-value

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