This paper analyzes time trends in life expectancy at birth in sub-Saharan Africa, allowing the errors to be I(d), where d is a fractional value, instead of making the usual, more restrictive assumptions of I(0) or I(1) errors. The results indicate that the order of integration of the series varies across countries: some are I(d) with d significantly below 1 (which implies mean-reverting behavior), some are I(1) and the remainder exhibit orders of integration significantly above 1. The time trend coefficients are in some cases substantially different from those estimated under the assumptions of I(0) or I(1) errors. There is evidence of a positive trend in most countries, the highest coefficients being those for Gambia, Ethiopia, Mali, Liberia and Cape Verde.


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