e d In the Box-Jenkins approach to analyzing time series, a key question is whether to difference th ata, i.e., to replace the raw data {y } by the differenced series {y −y }. Experience indicates that m t t t −1 ost economic time series tend to wander and are not stationary, but that differencing often yields a e r stationary result. A key example, which often provides a fairly good descriptio...

e d In the Box-Jenkins approach to analyzing time series, a key question is whether to difference th ata, i.e., to replace the raw data {x } by the differenced series {x −x }. Experience indicates that m t t t −1 ost economic time series tend to wander and are not stationary, but that differencing often yields a e r stationary result. A key example, which often provides a fairly good descriptio...

This paper examines, both theoretically and through Monte Carlo analysis, the implications of applying the HEGY seasonal root tests to a process that is periodically integrated. As an important special case, the random walk process is also considered. In the context of the HEGY regression, the asymptotic distribution of the zero frequency test statistic is dependent on the coefficients of the p...

This paper analyzes an approach to correcting spurious regressions involving unit-root nonstationary variables by generalized least squares (GLS) using asymptotic theory. This analysis leads to a new robust estimator and a new test for dynamic regressions. The robust estimator is consistent for structural parameters not just when the regression error is stationary but also when it is unit-root ...