Chapter

Discrimination in Terms of the Long‐Run Component: A Test for Trend 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/10.1093/0198773536.003.0003

Series: Advanced Texts in Econometrics

 Discrimination in Terms of the Long‐Run Component: A Test for Trend Stationarity

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This chapter analyses a measure of long-run component, b(1). It is argued that the non-parametric variance ratio used to measure the importance of long-run components in economic time series cannot be used to discriminate the difference and the trend stationarity. The MA unit-root test is derived, which is the locally best test on the basis of the invariance principle. It is shown that the MA unit-root test for the Δxt is useful in testing for the trend stationarity of xt against the difference stationarity.

Keywords: long-run component; non-parametric variance ratio; time series; trend stationarity; difference stationarity; econometrics

Chapter.  6501 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

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