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Suppose that you want to establish an appropriate univariate time series model for your data...

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Finance

Suppose that you want to establish an appropriate univariate time series model for your data series, yt . And you want to performa a Dickey Fuller test for your time series.

Which of the following is NOT TRUE in describing the Dickey Fuller test?

Select one:

a)

The Dickey Fuller test is used to test whether yt is stationary or not in the Dickey Fuller regression models.

b)

The null hypothesis for the Dickey Fuller test is that yt contains a unit root.

c)

The Dickey Fuller test statistics is always negative.

d)

If we reject the null hypothesis for the Dickey Fuller test, we conclude that the time

series is stationary.

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