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TESTING FOR TREND STATIONARITY VERSUS DIFFERENCE STATIONARITY
Author(s) -
Arellano Consuelo,
Pantula Sastry G.
Publication year - 1995
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1995.tb00227.x
Subject(s) - mathematics , null hypothesis , invertible matrix
. Testing the null hypothesis that a process is difference stationary has received considerable attention in the past decade. Recently, there has been some interest in testing the null hypothesis that a process is a sum of a linear trend and a stationary invertible noise sequence. In this paper we present procedures for testing the null hypothesis that a process is trend stationary against the alternative that the process is difference stationary. A Monte Carlo study is presented to study the behavior of the proposed test criteria. Average global temperature data are used to illustrate the test criteria.