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.
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© 2008 Springer Science+Business Media, LLC
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(2008). Non-stationary Time Series. In: Analysis of Integrated and Cointegrated Time Series with R. Use R!. Springer, New York, NY. https://doi.org/10.1007/978-0-387-75967-8_3
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DOI: https://doi.org/10.1007/978-0-387-75967-8_3
Publisher Name: Springer, New York, NY
Print ISBN: 978-0-387-75966-1
Online ISBN: 978-0-387-75967-8
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