Definition of Augmented Dickey-Fuller Test

Definition: An augmented Dickey-Fuller test is a test for a unit root in a time series sample. An augmented Dickey-Fuller test is a version of the Dickey-Fuller test for a larger and more complicated set of time series models.

The augmented Dickey-Fuller (ADF) statistic, used in the test, is a negative number. The more negative it is, the stronger the rejection of the hypothesis that there is a unit root at some level of confidence. In one example, with three lags, a value of -3.17 constituted rejection at the p-value of .10. (Econterms)

Terms related to Augmented Dickey-Fuller Test:

• Unit root
• Dickey-Fuller test
• P-value

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Writing a Term Paper? Here are a few starting points for research on Augmented Dickey-Fuller Test:

Books on Augmented Dickey-Fuller Test:

• Greene, William H.. 1997. Econometric Analysis. 3nd edition.
  Macmillan Publishing Company.

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