Journal article
Integration Versus Trend Stationarity in Time Series
Econometrica, Vol.60(2), pp.423-433
03/01/1992
DOI: 10.2307/2951602
Abstract
A well-known approach to modeling macroeconomic time series is to assume that the natural logarithm of the series can be represented by the sum of a deterministic time trend and a stochastic term. The trend need not literally be part of the data generation process, but may be viewed as a substitute for a complicated and unknown function of population, capital accumulation, and technical progress. Within this approach there are 2 competing models: 1. the trend-stationary specification, and 2. the integrated specification. The essential difference between the models is the nature of the process driving the stochastic component, not whether the series is trended. It is concluded that it is difficult to discriminate between the 2 models using classical testing methods. This is the consequence of low power. The analysis thus suggests that it is premature to accept the integration hypothesis as a stylized fact of macroeconomic time series.
Details
- Title: Subtitle
- Integration Versus Trend Stationarity in Time Series
- Creators
- David N. DeJongJohn C. NankervisN E SavinCharles H Whiteman
- Resource Type
- Journal article
- Publication Details
- Econometrica, Vol.60(2), pp.423-433
- DOI
- 10.2307/2951602
- ISSN
- 0012-9682
- eISSN
- 1468-0262
- Publisher
- Blackwell Publishing Ltd
- Language
- English
- Date published
- 03/01/1992
- Academic Unit
- Economics
- Record Identifier
- 9984963083102771
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