Non-stationary Time Series
In this chapter, models for non-stationary time series are introduced. Before the characteristics of unit processes are presented, the differences between trend- and difference-stationary models are outlined. In the last section, long-memory processes (i.e., fractionally integrated processes) are presented as a bridge between stationary and unit root processes.
KeywordsRandom Walk Unit Root Stochastic Component Cyclical Component White Noise Process
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