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Trending time series and macroeconomic activity: Some present and future challenges

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  • Phillips, Peter C. B.

Abstract

Some challenges for econometric research on trending time are discussed in relation to some perceived needs of macroeconomics and macroeconomic policy making.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 100 (2001)
Issue (Month): 1 (January)
Pages: 21-27

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Handle: RePEc:eee:econom:v:100:y:2001:i:1:p:21-27

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Web page: http://www.elsevier.com/locate/jeconom

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References

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  1. Peter C.B. Phillips, 1998. "Econometric Analysis of Fisher's Equation," Cowles Foundation Discussion Papers 1180, Cowles Foundation for Research in Economics, Yale University.
  2. Phillips, Peter C B, 1996. "Econometric Model Determination," Econometrica, Econometric Society, vol. 64(4), pages 763-812, July.
  3. Werner Ploberger & Peter C. B. Phillips, 2003. "Empirical Limits for Time Series Econometric Models," Econometrica, Econometric Society, vol. 71(2), pages 627-673, March.
  4. Brock, William A. & Durlauf, Steven N., 2001. "Interactions-based models," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 54, pages 3297-3380 Elsevier.
  5. Krugman, Paul R, 1991. "Target Zones and Exchange Rate Dynamics," The Quarterly Journal of Economics, MIT Press, vol. 106(3), pages 669-82, August.
  6. Hall, Robert E, 1978. "Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence," Journal of Political Economy, University of Chicago Press, vol. 86(6), pages 971-87, December.
  7. Peter C. B. Phillips, 2001. "Descriptive econometrics for non-stationary time series with empirical illustrations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 389-413.
  8. Galor, Oded & Zeira, Joseph, 1993. "Income Distribution and Macroeconomics," Review of Economic Studies, Wiley Blackwell, vol. 60(1), pages 35-52, January.
  9. Joon Y. Park & Peter C. B. Phillips, 1999. "Nonstationary Binary Choice," Working Paper Series no5, Institute of Economic Research, Seoul National University.
  10. Peter C.B. Phillips, 1998. "New Unit Root Asymptotics in the Presence of Deterministic Trends," Cowles Foundation Discussion Papers 1196, Cowles Foundation for Research in Economics, Yale University.
  11. Peter C.B. Phillips, 1985. "Understanding Spurious Regressions in Econometrics," Cowles Foundation Discussion Papers 757, Cowles Foundation for Research in Economics, Yale University.
  12. Robert M. Solow, 2000. "Toward a Macroeconomics of the Medium Run," Journal of Economic Perspectives, American Economic Association, vol. 14(1), pages 151-158, Winter.
  13. Peter C. B. Phillips, 1998. "New Tools for Understanding Spurious Regressions," Econometrica, Econometric Society, vol. 66(6), pages 1299-1326, November.
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Citations

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Cited by:
  1. Bernoth, Kerstin & Erdogan, Burcu, 2012. "Sovereign bond yield spreads: A time-varying coefficient approach," Journal of International Money and Finance, Elsevier, vol. 31(3), pages 639-656.
  2. Cai, Zongwu, 2007. "Trending time-varying coefficient time series models with serially correlated errors," Journal of Econometrics, Elsevier, vol. 136(1), pages 163-188, January.
  3. Engelbrecht, Hans-Jurgen, 2001. "Statistics for the information age," Information Economics and Policy, Elsevier, vol. 13(3), pages 339-349, September.
  4. Jia Chen & Jiti Gao & Degui Li, 2010. "Semiparametric Trending Panel Data Models with Cross-Sectional Dependence," School of Economics Working Papers 2010-10, University of Adelaide, School of Economics.
  5. Gallegati, Marco & Ramsey, James B., 2013. "Structural change and phase variation: A re-examination of the q-model using wavelet exploratory analysis," Structural Change and Economic Dynamics, Elsevier, vol. 25(C), pages 60-73.
  6. Kwakwa, Paul Adjei, 2014. "Energy-growth nexus and energy demand in Ghana: A review of empirical studies," MPRA Paper 54971, University Library of Munich, Germany, revised 01 Apr 2014.
  7. repec:wyi:wpaper:002009 is not listed on IDEAS
  8. Gallegati, Marco & Ramsey, James B., 2013. "Bond vs stock market's Q: Testing for stability across frequencies and over time," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 138-150.
  9. Yonghui Zhang & Liangjun Su & Peter C.B. Phillips, 2011. "Testing for Common Trends in Semiparametric Panel Data Models with Fixed Effects," Cowles Foundation Discussion Papers 1832, Cowles Foundation for Research in Economics, Yale University.
  10. David O'Toole, 2009. "Exchange Rate Forecasts and Stochastic Trend Breaks," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 7.
  11. Cai, Zongwu, 2003. "Trending Time-Varying Coefficient Models With Serially Correlated Errors," SFB 373 Discussion Papers 2003,7, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

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