Advanced Search
MyIDEAS: Login to save this article or follow this journal

Consideration of Trends in Time Series

Contents:

Author Info

  • White Halbert

    (University of California, San Diego)

  • Granger Clive W.J.

    (University of California, San Diego)

Abstract

Even though the trend components of economic time series were among the first to be distinguished, even today the trend remains relatively little understood. As Phillips (2005) notes, no one understands trends, but everyone sees them in the data. Economists and econometricians can give plenty of examples of trends, such as straight lines, exponentials or polynomials in time, and also forms of random walks, but these are merely examples. Individuals or groups do have their own personal definitions, but these diverse approaches illustrate the lack of a generally accepted definition of a trend. They also suggest a richness of alternatives to consider, both individually and jointly. Here, we make a variety of observations about trends, and based on these, we offer working definitions of various kinds of trends. We emphasize that these are working definitions, as our purpose here is to invite discussion, not to settle matters once and for all. Our hope is that our discussion here may facilitate development of increasingly better methods for prediction, estimation and hypothesis testing for non-stationary time-series data, and ultimately may enable decision makers to make more informed decisions.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.degruyter.com/view/j/jtse.2011.3.1/jtse.2011.3.1.1092/jtse.2011.3.1.1092.xml?format=INT
Download Restriction: For access to full text, subscription to the journal or payment for the individual article is required.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by De Gruyter in its journal Journal of Time Series Econometrics.

Volume (Year): 3 (2011)
Issue (Month): 1 (February)
Pages: 1-40

as in new window
Handle: RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:2

Contact details of provider:
Web page: http://www.degruyter.com

Order Information:
Web: http://www.degruyter.com/view/j/jtse

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Yonghui Zhang & Liangjun Su & Peter C. B. Phillips, 2012. "Testing for common trends in semi‐parametric panel data models with fixed effects," Econometrics Journal, Royal Economic Society, vol. 15(1), pages 56-100, 02.
  2. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2012. "Unit roots, nonlinearities and structural breaks," CREATES Research Papers 2012-14, School of Economics and Management, University of Aarhus.
  3. Terence Mills & Kerry Patterson, 2013. "Modelling the Trend: The Historical Origins of Some Modern Methods and Ideas," Economics & Management Discussion Papers em-dp2013-03, Henley Business School, Reading University.
  4. repec:rdg:wpaper:em-dp2013-03 is not listed on IDEAS
  5. Yamada, Hiroshi & Yoon, Gawon, 2014. "When Grilli and Yang meet Prebisch and Singer: Piecewise linear trends in primary commodity prices," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 193-207.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:2. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Peter Golla).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.