Stationarity Issues in Time Series Models


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Source: SAS Institute
Date: January 2008
Type: White Paper
Rating: (0)

Overview: The decision on whether to scrutinize a time series in levels or differences is an important characteristic of forecasting. Visual methods have been around for a long time. Relatively recently, statistical tests for the null hypothesis that the series is no stationary, meaning that differencing is required, have been developed. This paper reviews the development of these tests, gives motivating examples of why they are needed, demonstrates their use, and shows some other related procedures.

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