Modelling Trends And Cycles In Economic Time Series (palgrave Texts In Econometrics)

Modelling Trends And Cycles In Economic Time Series Has A Long History, 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. Terence Mills Introduces These Various Approaches To Allow Students And Researchers To Appreciate The Variety Of Techniques And The Considerations That Underpin Their Choice For Modelling Trends And Cycles--jacket. 'classical' Techniques Of Modelling Trends And Cycles -- Stochastic Trends And Cycles -- Filtering Economic Time Series -- Nonlinear And Nonparametric Trend Modelling -- Multivariate Modelling Of Trends And Cycles. Terence C. Mills. Includes Bibliographical References And Index. 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

modelling Trends And Cycles In Economic Time Series Has A Long History, 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. Terence Mills Introduces These Various Approaches To Allow Students And Researchers To Appreciate The Variety Of Techniques And The Considerations That Underpin Their Choice For Modelling Trends And Cycles.

Front Matter....Pages i-xii Introduction....Pages 1-11 ‘Classical’ Techniques of Modelling Trends and Cycles....Pages 13-37 Stochastic Trends and Cycles....Pages 39-73 Filtering Economic Time Series....Pages 75-102 Nonlinear and Nonparametric Trend Modelling....Pages 103-121 Multivariate Modelling of Trends and Cycles....Pages 123-147 Conclusions....Pages 149-150 Back Matter....Pages 151-178 Modelling trends and cycles in time series has a long history in empirical economics, stretching back to the latter part of the nineteenth century.