Modelling Trends and Cycles in Economic Time Series

Mills, Terence C., Professor,

Modelling Trends and Cycles in Economic Time Series
 
 
Modelling trends and cycles in economic time series has a long history in empirical economics, with the use of linear trends and moving averages forming the basic tool kit of economists until the 1970s. Several developments in econometrics then led to an overhaul of the techniques used to extract trends and cycles from time series. In particular there was a shift towards using stochastic, rather than deterministic trend formulations. This research was given further impetus by the rise of real business cycle theories, which offered an alternative approach to detrending via more sophisticated use of moving averages, and to the concept of cointegration, which can be interpreted as implying the presence of common trends in a group of related time series. Terence Mills introduces these various approaches to allow students and researchers to appreciate the techniques, and the considerations that underpin their choice, for modelling trends and cycles.


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