Dickey–Fuller test
= Dickey–Fuller test
{c}
The Dickey–Fuller test detects a <unit-root autoregressive process> against a stationary causal alternative. Regress $\Delta X_t$ on $X_{t-1}$, with deterministic terms appropriate to the model. Under the null, the usual regression statistic has a nonnormal <Brownian motion> functional limit, so ordinary normal critical values are inappropriate.