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Modelling trends and cycles in economic time series: historical perspective and future developments

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Author Info
Terence C. Mills () (Department of Economics, Loughborough University, Loughborough, UK)
Abstract

This paper provides a retrospective on the modelling of trends and cycles in economic time series and considers where the research agenda currently stands and where future developments might lie. A brief survey of the early empirical research on trends and cycles is first provided before attention is focused on four papers published in 1961—our ‘annus mirabilis’ of trend and cycle modelling—which we argue have been ‘prime movers’ in various aspects of research in this area. The links from these papers to current research issues are then teased out before the likely future directions of research in both theoretical and applied aspects of the modelling of trends and cycles are considered.

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File URL: http://dx.doi.org/10.1007/s11698-008-0031-y
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Publisher Info
Article provided by Association Française de Cliométrie (AFC) in its journal Cliometrica, Journal of Historical Economics and Econometric History.

Volume (Year): 3 (2009)
Issue (Month): 3 (October)
Pages: 221-244
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Handle: RePEc:afc:cliome:v:3:y:2009:i:3:p:221-244

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Related research
Keywords: Cycles; Decompositions; Time series; Trends;

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
E27 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
N1 - Economic History - - Macroeconomics and Monetary Economics; Growth and Fluctuations

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This page was last updated on 2009-11-24.

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