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Nonstationary Processes

In: Introduction to Modern Time Series Analysis

Author

Listed:
  • Gebhard Kirchgässner

    (University of St. Gallen)

  • Jürgen Wolters

    (Freie Universität Berlin)

Abstract

So far we have only considered stationary time series. As a matter of fact, however, most economic time series are trending, like, for example, the GDP series investigated in Chapter 1. We tried to eliminate the trend by using first differences or growth rates. These filtered series can be investigated by employing the concepts that were developed for the analysis of stationary time series.

Suggested Citation

  • Gebhard Kirchgässner & Jürgen Wolters, 2007. "Nonstationary Processes," Springer Books, in: Introduction to Modern Time Series Analysis, chapter 5, pages 153-198, Springer.
    • Handle: RePEc:spr:sprchp:978-3-540-73291-4_5
    DOI: 10.1007/978-3-540-73291-4_5
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