My data series got stationary at first difference. Now I need to make a new variable with Yt-Yt-1 but how do I accommodate the Trend and intercept as my series got stationary only when these two were included .Some suggest just differencing no matter if these two were used or not. Not logical to me.Any views?
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Try writing something more about your problem and the analysis you've done. Your description is a little bit ambiguous and it is not really clear what the problem is. – Tim Dec 12 '14 at 19:25
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I mean after finding out that a series becomes stationary at First difference with Trend and Intercept included, how should I generate a new variable that caters for the First Difference, Trend and Intercept. I am using Eviews. – Azam Dec 12 '14 at 19:46