Unit root test
In statistics, a unit root test tests whether a time series variable is non-stationary and possesses a unit root. The null hypothesis is generally defined as the presence of a unit root and the altern
Johansen test
In statistics, the Johansen test, named after Søren Johansen, is a procedure for testing cointegration of several, say k, I(1) time series. This test permits more than one cointegrating relationship s
Ljung–Box test
The Ljung–Box test (named for Greta M. Ljung and George E. P. Box) is a type of statistical test of whether any of a group of autocorrelations of a time series are different from zero. Instead of test
Portmanteau test
A portmanteau test is a type of statistical hypothesis test in which the null hypothesis is well specified, but the alternative hypothesis is more loosely specified. Tests constructed in this context
Chow test
The Chow test (Chinese: 鄒檢定), proposed by econometrician Gregory Chow in 1960, is a test of whether the true coefficients in two linear regressions on different data sets are equal. In econometrics, i
Turning point test
In statistical hypothesis testing, a turning point test is a statistical test of the independence of a series of random variables. Maurice Kendall and Alan Stuart describe the test as "reasonable for
Augmented Dickey–Fuller test
In statistics, an augmented Dickey–Fuller test (ADF) tests the null hypothesis that a unit root is present in a time series sample. The alternative hypothesis is different depending on which version o
Granger causality
The Granger causality test is a statistical hypothesis test for determining whether one time series is useful in forecasting another, first proposed in 1969. Ordinarily, regressions reflect "mere" cor
Dickey–Fuller test
In statistics, the Dickey–Fuller test tests the null hypothesis that a unit root is present in an autoregressive time series model. The alternative hypothesis is different depending on which version o
Convergent cross mapping
Convergent cross mapping (CCM) is a statistical test for a cause-and-effect relationship between two variables that, like the Granger causality test, seeks to resolve the problem that correlation does
ADF-GLS test
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 modi
KPSS test
In econometrics, Kwiatkowski–Phillips–Schmidt–Shin (KPSS) tests are used for testing a null hypothesis that an observable time series is stationary around a deterministic trend (i.e. trend-stationary)
Durbin–Watson statistic
In statistics, the Durbin–Watson statistic is a test statistic used to detect the presence of autocorrelation at lag 1 in the residuals (prediction errors) from a regression analysis. It is named afte