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Modeling trends in macroeconomic time series

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  • Nathan S. Balke

Abstract

How predictable are real GNP, prices, and other macroeconomic data over long time horizons? The answer depends on the nature of their trends. In this article, Nathan S. Balke describes alternative models of trend for economic data, discusses the implications of these models for forecasting and business-cycle analysis, and reviews some of the existing evidence for and against various models of trend. ; In addition, Balke conducts a case study of real GNP and the price level. He finds that a simple linear time trend may adequately reflect the long- run behavior of real GNP. The price level, on the other hand, appears to be affected by infrequent but dramatic events that have long-lasting effects. Consequently, the price level is much more difficult to forecast.

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Bibliographic Info

Article provided by Federal Reserve Bank of Dallas in its journal Economic and Financial Policy Review.

Volume (Year): (1991)
Issue (Month): May ()
Pages: 19-33

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Handle: RePEc:fip:fedder:y:1991:i:may:p:19-33

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Keywords: Macroeconomics ; Econometric models ; Time-series analysis;

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Cited by:
  1. Alemu, Zerihun Gudeta & Oosthuizen, L.K. & van Schalkwyk, Herman D., 2003. "The Effect And Persistence Of Major Changes In Economic Policies On The Long-Term Performance (Trend) Of Ethiopian Agriculture," 2003 Annual Conference, October 2-3, 2003, Pretoria, South Africa 19089, Agricultural Economic Association of South Africa (AEASA).
  2. Eric Zivot & Peter C.B. Phillips, 1991. "A Bayesian Analysis of Trend Determination in Economic Time Series," Cowles Foundation Discussion Papers 1002, Cowles Foundation for Research in Economics, Yale University.
  3. Gundlach, Erich, 1993. "Die Dienstleistungsnachfrage als Determinante des wirtschaftlichen Strukturwandels," Open Access Publications from Kiel Institute for the World Economy 763, Kiel Institute for the World Economy (IfW).
  4. Øystein Thøgersen, 2006. "Intergenerational Risk Sharing by Means of Pay-as-you-go Programs – an Investigation of Alternative Mechanisms," CESifo Working Paper Series 1759, CESifo Group Munich.

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