Determining the Order of Differencing in Autoregressive Processes
提出一套统计检验序列，帮助实践者判断时间序列需要多少阶差分才能平稳，适用于可能需要高阶差分的场景。
AbstractOne way of handling nonstationarity in time series is to compute first differences and fit a model to the differenced series unless the differenced series also looks nonstationary. In that case, second- or higher-order differencing is done. To decide if the current degree of differencing is sufficient, one can look at the autocorrelation function for slow decay. A formal statistical test for the need to difference further is available if one is willing to assume that at most one more difference will render the series stationary. In this article, we present a proper sequence of statistical tests that allows the practitioner to handle cases in which a high order of differencing may be needed. The proper sequence is not the traditional sequence, which begins with a test for a single unit root.KEY WORDS: NonstationarityUnit root tests