The task: explain first order AR model`s one unit root test;

the same, but in higher order AR.

H0 and H1 hypothesis are required. Please see below for details.

6. Describe ways of testing for (i) one unit root in a first order autoregressive model; (ii) one unit root in higher order autoregressive models. In your answer state clearly the null and alternative hypotheses, and explain how the distribution of the test differs from the conventional t-distribution. (10 marks)