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Nonstationary Processes

In: Introduction to Modern Time Series Analysis

Author

Listed:
  • Gebhard Kirchgässner

    (University of St. Gallen)

  • Jürgen Wolters

    (FU Berlin)

  • Uwe Hassler

    (Goethe University Frankfurt)

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 & Uwe Hassler, 2013. "Nonstationary Processes," Springer Texts in Business and Economics, in: Introduction to Modern Time Series Analysis, edition 2, chapter 5, pages 155-203, Springer.
    • Handle: RePEc:spr:sptchp:978-3-642-33436-8_5
    DOI: 10.1007/978-3-642-33436-8_5
    as

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