Question

what is unit root in Time series Analysis.

Answer 1

Unit root is a stochastic trend in a time series. To explain in a simple words, a time series should be a random walk however it is not always the case, sometimes time series is, "random walk with a drift" meaning that time series has a trend (Positive or negative). In a regression of time series, any change from a random walk must come back or return back to the regression line, howver when this does not happen and there is a trend, there is presence of unit root. This unit root shall render the original data nonn-usable for analysis and differencing has to be done until unit root is not present.