A time series of successive differences (Xt Xt-1). When a time series is non-stationary, it can often be made into a stationary series by taking first differences of the series. If first differences do not convert the series to stationary form, then one can create first differences of first differences. This is called second-order differencing. A distinction is made between a second-order difference and a second difference (Xt Xt-2 ). See backward shift operator.