TESTING FOR TREND STATIONARITY VERSUS DIFFERENCE STATIONARITY

Consuelo Arellano and Sastry G. Pantula

Journal of Time Series Analysis, 1995, vol. 16, issue 2, 147-164

Abstract: Abstract. Testing the null hypothesis that a process is difference stationary has received considerable attention in the past decade. Recently, there has been some interest in testing the null hypothesis that a process is a sum of a linear trend and a stationary invertible noise sequence. In this paper we present procedures for testing the null hypothesis that a process is trend stationary against the alternative that the process is difference stationary. A Monte Carlo study is presented to study the behavior of the proposed test criteria. Average global temperature data are used to illustrate the test criteria.

Date: 1995
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:16:y:1995:i:2:p:147-164

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