Test for Integrated Time Series 

Check if the given data comes from a weakly stationary process or an integrated time series.

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X SeedRandom[456346435]; data = RandomFunction[ARIMAProcess[{.3}, 1, {.2}, 1], {0, 250}][ "PathStates"]; ListPlot[data, Filling -> Axis, ImageSize -> 300]

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UnitRootTest suggests that there is a linear trend.

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X UnitRootTest[data, Automatic, "TestDataTable"]

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Performing the test on the differenced data suggests all trend has been removed.

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X UnitRootTest[Differences[data], Automatic, "TestDataTable"]

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