Abstract
Many economic and financial time series exhibit trending behavior or non-stationarity in the mean. Leading examples are asset prices, exchange rates and the levels of macroeconomic aggregates like real GDP. An important econometric task is determining the most appropriate form of the trend in the data. For example, in ARMA modeling the data must be transformed to stationary form prior to analysis. If the data are trending, then some form of trend removal is required.
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Zivot, E., Wang, J. (2003). Unit Root Tests. In: Modeling Financial Time Series with S-Plus®. Springer, New York, NY. https://doi.org/10.1007/978-0-387-21763-5_4
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DOI: https://doi.org/10.1007/978-0-387-21763-5_4
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