What is the Augmented Dickey-Fuller Test?

The Dickey-Fuller test:

• It is one of the most popular statistical tests. It is used to determine the presence of unit roots in a series and hence helps us to understand if the series is stationary or not.

The null and alternate hypothesis for this test is:

1. Null Hypothesis: The series has a unit root (value of a =1)

2. Alternate Hypothesis: The series has no unit root.

• If we fail to reject the null hypothesis, we can say that the series is non-stationary.

• This means that the series can be linear or difference stationary.