Detrending Time Series

Lawrence E. Raffalovich
Additional contact information
Lawrence E. Raffalovich: State University of New York at Albany

Sociological Methods & Research, 1994, vol. 22, issue 4, 492-519

Abstract: Trends in time series may produce spurious covariation among variables. Although it is clearly necessary to model such sources of covariation, it is equally necessary to model those processes correctly. This article considers two types of processes that produce trends in time series. Trend stationary processes produce a constant rate of change in the level of a variable. Difference stationary processes produce a random rate of change in the level of a variable. Methods to detrend time series presuppose one or the other of these two basic processes. Tests to distinguish trend stationary from difference stationary processes are described and illustrated. It is shown that choice of method makes a difference and that the consequences of incorrectly detrending time series may be severe.

Date: 1994
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/0049124194022004003 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sae:somere:v:22:y:1994:i:4:p:492-519

DOI: 10.1177/0049124194022004003

Access Statistics for this article

More articles in Sociological Methods & Research
Bibliographic data for series maintained by SAGE Publications ().