I(0) , I(1)

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hxh
Posts: 13
Joined: Fri Jun 17, 2011 12:02 am

I(0) , I(1)

Postby hxh » Sun Jul 10, 2011 2:10 pm

Hello

I have a question towards the order of Intergration.

If I have a time series which is showing a trend , this trend can be determenistic or stochastic. This I dont know from just looking at the graph.
No I am gonna make Unit Root tests to determine the ORder of Integration.

Assume that I find that the first differences have no unit root.

So first I test the series without including a trend and the test result is that there is a unit root. This would mean that the process is I(1).

Ok but when I include a trend term in the test I find that there is no unit root, which means that the process is trend stationary.
Can i now say that the process is I(0) ??

Do I think correct ?

best regards

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