### Unit root, or not ? is it a big deal ?

Consider a time series, generated using
set.seed(1)
E=rnorm(240)
X=rep(NA,240)
rho=0.8
X[1]=0
for(t in 2:240){X[t]=rho*X[t-1]+E[t]}
The idea is to assume that an autoregressive model can be considered, but we don't know the value of the parameter. ... [Read more...]