The Augmented Dickey-Fuller Test is a statistical test used to determine whether a unit root is present in an autoregressive model, which helps in assessing the stationarity of a time series. It extends the Dickey-Fuller test by including lagged differences of the time series to account for higher-order serial correlation, enhancing the test's robustness in practical applications.
The Durbin-Watson Test is a statistical test used to detect the presence of autocorrelation at lag 1 in the residuals of a regression analysis. It is particularly important in time series analysis as autocorrelation can invalidate the standard statistical tests for significance of the regression coefficients.
The Momentum Effect refers to the observed tendency for assets that have performed well in the recent past to continue performing well in the short-term future, and vice versa for poorly performing assets. This phenomenon challenges the Efficient Market Hypothesis by suggesting that past performance can, to some extent, predict future performance.