TESTING FOR TREND STATIONARITY VERSUS DIFFERENCE STATIONARITY

DOI10.1111/J.1467-9892.1995.TB00227.XMaRDI QIDQ4328377zbMATH OpenOpenAlexFDO

Authors Consuelo Arellano, Sastry G. Pantula

Publication date 14 June 1995

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1995.tb00227.x

zbMATH Keywords

difference stationaryMonte-Carlo studynoninvertible moving averagestationary invertible noise sequencetrend stationaryunit roots

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Testing a time series for difference stationarity
• Some results on testing for stationarity using data detrended in differences
• TESTING FOR TREND
• Testing the null hypothesis of stationarity against an autoregressive unit root alternative
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?

Cites work

• Are output fluctuations transitory?
• Estimation of a non-invertible moving average process: the case of overdifferencing
• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Maximum Likelihood Estimation of Regression Models with First Order Moving Average Errors when the Root Lies on the Unit Circle
• Testing for a Moving Average Unit Root in Autoregressive Integrated Moving Average Models
• TESTING FOR TREND STATIONARITY VERSUS DIFFERENCE STATIONARITY

Cited in

(8)

• Testing for trends in correlated data
• Testing the null of stationarity for multiple time series
• Some results on testing for stationarity using data detrended in differences
• Testing a time series for difference stationarity
• TESTING FOR TREND STATIONARITY VERSUS DIFFERENCE STATIONARITY
• Tests for a change in persistence against the null of difference‐stationarity
• scientific article; zbMATH DE number 7578299 (Why is no real title available?)
• Long-term behavior of non-ferrous metal price models with jumps

Describes a project that uses

Uses Software

• SAS

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