V2EX unit-root

Unit Root

定义 / Definition

单位根(unit root):时间序列分析与计量经济学中的概念,指在自回归模型中存在一个特征根等于 1 的情况;通常意味着序列非平稳、冲击影响具有持久性,常见表现是序列类似随机游走(random walk)。该术语在单位根检验(如 DickeyFuller 检验)中非常核心。

发音 / Pronunciation (IPA)

/junt rut/

例句 / Examples

The series has a unit root, so its mean and variance change over time.
该序列存在单位根,因此它的均值和方差会随时间变化。

Before fitting the model, we ran an augmented DickeyFuller test to see whether the data contained a unit root.
在拟合模型之前,我们先做了增广 DickeyFuller 检验,以判断数据是否包含单位根。

词源 / Etymology

“unit”意为“单位、1”, “root”在数学中指“根”。unit root字面即“等于 1 的根”,来源于时间序列模型的特征方程:当某个根为 1 时,模型往往对应非平稳过程,因此被称为“单位根”。

相关词 / Related Words

文学与著作示例 / Notable Works

  • Time Series Analysis James D. Hamilton(经典时间序列教材,系统讨论单位根与非平稳性)
  • Applied Econometric Time Series Walter Enders(应用导向,常用单位根检验与案例)
  • “Distribution of the Estimators for Autoregressive Time Series With a Unit Root” Dickey & Fuller (1979)(单位根检验的奠基性论文)
  • Introduction to Econometrics Stock & Watson(入门教材中常见“unit root”与 ADF 检验)
关于     帮助文档     自助推广系统     博客     API     FAQ     Solana     2717 人在线   最高记录 6679       Select Language
创意工作者们的社区
World is powered by solitude
VERSION: 3.9.8.5 9ms UTC 11:03 PVG 19:03 LAX 04:03 JFK 07:03
Do have faith in what you're doing.
ubao msn snddm index pchome yahoo rakuten mypaper meadowduck bidyahoo youbao zxmzxm asda bnvcg cvbfg dfscv mmhjk xxddc yybgb zznbn ccubao uaitu acv GXCV ET GDG YH FG BCVB FJFH CBRE CBC GDG ET54 WRWR RWER WREW WRWER RWER SDG EW SF DSFSF fbbs ubao fhd dfg ewr dg df ewwr ewwr et ruyut utut dfg fgd gdfgt etg dfgt dfgd ert4 gd fgg wr 235 wer3 we vsdf sdf gdf ert xcv sdf rwer hfd dfg cvb rwf afb dfh jgh bmn lgh rty gfds cxv xcv xcs vdas fdf fgd cv sdf tert sdf sdf sdf sdf sdf sdf sdf sdf sdf sdf sdf sdf sdf sdf sdf sdf sdf sdf sdf sdf sdf sdf sdf sdf sdf sdf sdf sdf sdf sdf sdf sdf sdf sdf sdf sdf sdf sdf sdf sdf shasha9178 shasha9178 shasha9178 shasha9178 shasha9178 liflif2 liflif2 liflif2 liflif2 liflif2 liblib3 liblib3 liblib3 liblib3 liblib3 zhazha444 zhazha444 zhazha444 zhazha444 zhazha444 dende5 dende denden denden2 denden21 fenfen9 fenf619 fen619 fenfe9 fe619 sdf sdf sdf sdf sdf zhazh90 zhazh0 zhaa50 zha90 zh590 zho zhoz zhozh zhozho zhozho2 lislis lls95 lili95 lils5 liss9 sdf0ty987 sdft876 sdft9876 sdf09876 sd0t9876 sdf0ty98 sdf0976 sdf0ty986 sdf0ty96 sdf0t76 sdf0876 df0ty98 sf0t876 sd0ty76 sdy76 sdf76 sdf0t76 sdf0ty9 sdf0ty98 sdf0ty987 sdf0ty98 sdf6676 sdf876 sd876 sd876 sdf6 sdf6 sdf9876 sdf0t sdf06 sdf0ty9776 sdf0ty9776 sdf0ty76 sdf8876 sdf0t sd6 sdf06 s688876 sd688 sdf86