The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
Econometrica: Apr, 1977, Volume 45, Issue 3
https://doi.org/0012-9682(197704)45:3<737:ANOTRM>2.0.CO;2-D
p. 737-744
J. Keith Ord, Jack C. Hayya, K. Hung Chan
This paper deals with the theoretical development of some aspects of the trend removal problem. The objective is to show the difference between the two most popular trend removal methods: first differences and linear least squares regression. On the one hand, we show that if first differences are used to eliminate a linear trend, the series of residuals would be stationary but would not be white noises as they contain a first lag autocorrelation of -0.50. Furthermore, the spectral density function (SDF) of these residuals relative to that of a white noise series would be exaggerated at the high frequency portion and attenuated at the low frequency portion. On the other hand, we show that the regression residuals from the linear detrending of a random walk series would contain large positive autocorrelations in the first few lags. Relative to that of white noises, the SDF of the regression residuals would be exaggerated at the low frequency portion and attenuated at the high frequency portion.
March 5, 2024
The terms of the Editors of the Econometric Society's three journals end June 30, 2025. We are pleased to announce the incoming Editors and to thank the outgoing Editors for their excellent and continuing service.
Econometrica: Since 2019, Guido Imbens has served as the 14th Editor of Econometrica. On July 1, 2025, Marina Halac will become the Editor.
Quantitative Economics: Stéphane Bonhomme has been the Editor of Quantitative Economics since 2021. His successor will be Bernard Salanié.
Theoretical Economics: The Editor of Theoretical Economics since 2021 has been Simon Board. Taking over for him in July 2025 will be Federico Echenique.
Guido, Stéphane, and Simon have been outstanding Editors. We are grateful to them for the work they have done and will continue to do, and we look forward to further congratulating them next year. We believe Marina, Bernard, and Federico will be outstanding successors and we thank them in advance for their service.
Finally, we are grateful to Larry Samuelson for chairing all three search committees, and we thank the search committee members for their hard and fruitful work:
Econometrica: Christian Dustmann, Lars Hansen, Alessandro Lizzeri, George Mailath, Ariel Pakes, Helene Rey, and Elie Tamer.
QE: Kate Ho, Michael Keane, Felix Kubler, Whitney Newey, and Frank Schorfheide.
TE: Jeff Ely, Johannes Horner, Gilat Levy, Meg Meyer, and Ran Spiegler.
