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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
Abstract 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.