Chapter

Trend Stationarity vs. Difference Stationarity

Michio Hatanaka

in Time-Series-Based Econometrics

Published in print January 1996 | ISBN: 9780198773535
Published online November 2003 | e-ISBN: 9780191596360 | DOI: http://dx.doi.org/10.1093/0198773536.003.0002

Series: Advanced Texts in Econometrics

 Trend Stationarity vs. Difference Stationarity

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This chapter introduces difference stationarity (DS) and trend stationarity (TS) as two non-nested, separate hypotheses. TS is represented as an MA unit-root in Δxt, and as a limit of a sequence of the DS models. The DS is represented as a limit of a sequence of TS models. Data relevant to the discrimination between the DS and TS are explained.

Keywords: difference stationarity; trend stationarity; econometrics

Chapter.  6811 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

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