A Note on Trend Removal Methods: The Case of Polynomial Regression versus Variate Differencing
趋势去除方法札记:多项式回归与差分法的比较
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…