Chapter

Regression Approach to the Test for Difference Stationarity (II)

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/10.1093/0198773536.003.0007

Series: Advanced Texts in Econometrics

 Regression Approach to the Test for Difference Stationarity (II)

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This chapter reintroduces a non-zero mean for Δxt, and tests for difference stationarity against trend stationarity with serially correlated Δxt and possible presence of a linear trend in xt. It considers the cases where Δxt is an AR and Δxt is an MA or an ARMA. Applications of the method are discussed.

Keywords: regression; trend stationarity; difference stationarity; econometrics

Chapter.  5976 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

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