Stationarity tests in time series model building | Zendy

Ali Mukhtar M. | Zendy; Thalheimer Richard | Zendy

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Stationarity tests in time series model building

Author(s) -

Ali Mukhtar M.,

Thalheimer Richard

Publication year - 1983

Publication title -

journal of forecasting

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.543

H-Index - 59

eISSN - 1099-131X

pISSN - 0277-6693

DOI - 10.1002/for.3980020307

Subject(s) - series (stratigraphy) , transformation (genetics) , scale (ratio) , parametric statistics , time series , computer science , order of integration (calculus) , econometrics , stationary process , mathematics , statistics , geology , paleontology , mathematical analysis , biochemistry , chemistry , physics , quantum mechanics , gene

Optimum non‐parametric tests for stationarity of a stochastic process against location and scale shift alternatives are explored. Usefulnesss of these tests in detecting a suitable differencing transformation that reduces a non‐stationary time series to a stationary one is illustrated with a number of previously analysed real life data.

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