Detrending time series : A cautionary note  

Oleh:

Raffalovich, Lawrence E.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: Sociological Methods & Research (SMR) vol. 22 no. 04 (May 1994), page 492-519.
Fulltext: RAFFALOVICH-492-519.pdf (2.2MB)

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Perpustakaan PKPM Nomor Panggil: S28 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Trends in time series may produce spurious co variation among variables. Although it is dearly necessary to model such sources of co variation, it is equally necessary to model those processes correctly. This article considers two types of processes that produce trends in time series. Trend stationary processes produce a constant rate of change in the level of a variable. Difference stationary processes produce a random rate of change in the level of a variable. Methods to deterrent time series presuppose one or the other of these two basic processes. Tests to distinguish trend stationary from difference stationary processes are described and illustrated. It is shown that choice of method makes a difference and that the consequences of incorrectly detrending time series may be severe.

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