Some results on testing for stationarity using data detrended in differences

DOI10.1016/0165-1765(93)90101-HzbMath0798.62106OpenAlexW2055990409MaRDI QIDQ1311238

V. Pereyra

Publication date: 13 January 1994

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(93)90101-h

zbMATH Keywords

time seriesinconsistencyunit root testsdeterministic trenddata detrended in differencesdata detrended in levelsnull hypothesis of stationarity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

Does the method of data detrending matter? A study of the KPSS test against long memory alternatives ⋮ The Sensitivity of Detrended Long-Memory Processes

Cites Work

• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Deciding between I(1) and I(0)
• Asymptotic Properties of Residual Based Tests for Cointegration
• On the Theory of Testing for Unit Roots in Observed Time Series
• Testing for a unit root in time series regression
• Testing for a Moving Average Unit Root in Autoregressive Integrated Moving Average Models

This page was built for publication: Some results on testing for stationarity using data detrended in differences