Abstract
Since the influential work of Charles R. Nelson and Charles Plosser (1982), many empirical studies have concluded that macroeconomic time series are difference stationary. This paper proposes the segmented trend model as an alternative in which the series is the sum of a nonstationary trend and a stationary cycle, and where the trend shows infrequent shifts. The paper proposes tests between the difference stationary, and segmented trends models and applies these to the data of Nelson and Plosser. In general, the results indicate that prices are difference stationary but quantities follow segmented trend processes. Copyright 1989 by Royal Economic Society.
Keywords
Library scienceSeries (stratigraphy)Volume (thermodynamics)HistoryPolitical scienceComputer scienceGeology
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Publication Info
- Year
- 1989
- Type
- article
- Volume
- 99
- Issue
- 395
- Pages
- 168-168
- Citations
- 336
- Access
- Closed
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Cite This
Peter Rappoport,
Lucrezia Reichlin
(1989).
Segmented Trends and Non-Stationary Time Series.
The Economic Journal
, 99
(395)
, 168-168.
https://doi.org/10.2307/2234078
Identifiers
- DOI
- 10.2307/2234078