# Identifying a stochastic trend model

My question is a bit general

Say I am given a time series $X_t$, In what ways I can use in order to check whether the sequence behaves like a stochastic trend model or not? and if yes how can I find the best fit model?

(i.e. $X_t=X_{t-1}+c+U_{t-1}$ where $U_{t}$ is some zero mean and stationary process)?

• look for posts on "unit root test" or "Dickey-Fuller" on this site – Christoph Hanck May 30 '15 at 15:56