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DeJong, David N.; Nankervis, John C.; Savin, N. E.; Whiteman, Charles H.

Integration versus trend stationarity in time series. (English) Zbl 0744.62151

Econometrica 60, No. 2, 423-433 (1992).

Cited in 31 Documents

MSC:

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

Keywords:

time series; macroeconomic time series; linear trend; i.i.d. normal innovations; trend-stationarity tests; finite sample powers; integration tests; first-order autoregressive process
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