The New Palgrave Dictionary of Economics Online

Models with autoregressive unit roots play a major role in modern time series analysis and are especially important in macroeconomics, where questions of shock persistence arise, and in finance, where martingale concepts figure prominently in the study of efficient markets. The literature on unit roots is vast and applications of unit root testing span the social, environmental and natural sciences. The present article overviews the theory and concepts that underpin this large field of research and traces the originating ideas and econometric methods that have become central to empirical practice.