Chapter

Regression Approach to the Test for Difference Stationarity (I)

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/10.1093/0198773536.003.0005

Series: Advanced Texts in Econometrics

 Regression Approach to the Test for Difference Stationarity (I)

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This chapter describes the augmented Dickey-Fuller method for the case where Δxt is i.i.d. Difference stationarity is tested as the null hypothesis against trend stationarity, assuming that {xt} may possibly contain a linear deterministic trend. It also presents a method that does not work.

Keywords: regression; Dickey-Fuller method; trend stationarity; difference stationarity; econometrics

Chapter.  2178 words. 

Subjects: Econometrics and Mathematical Economics

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