- Many economic and financial time series exhibit trending behaviour or nonstationarity in the mean. Leading examples are asset prices, exchange rates and the levels of macroeconomic aggregates like real GDP. An important econometric task is determining the most appropriate form of the trend in the data. For example, in ARMA modelling the data must be transformed to stationary form prior to analysis. If the data are trending, then some form of trend removal is required.
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Unit Root & Augmented Dickey-Fuller (ADF) Tests
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