Nonstationary Processes

Gebhard Kirchgässner, Juergen Wolters and Uwe Hassler

Chapter 5 in Introduction to Modern Time Series Analysis, 2013, pp 155-203 from Springer

Abstract: Abstract So far, we have only considered stationary time series. As a matter of fact, however, most economic time series are trending, like, for example, the GDP series investigated in Chapter 1. We tried to eliminate the trend by using first differences or growth rates. These filtered series can be investigated by employing the concepts that were developed for the analysis of stationary time series.

Keywords: Random Walk; Unit Root; Structural Break; Unit Root Test; Nonstationary Process (search for similar items in EconPapers)
Date: 2013
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Chapter: Nonstationary Processes (2007)
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DOI: 10.1007/978-3-642-33436-8_5

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