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Investigating Economic Trends and Cycles

In: Palgrave Handbook of Econometrics

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  • D. S. G. Pollock

Abstract

Methods are described for extracting the trend from an economic data sequence and for isolating the cycles that surround it. The latter often consist of a business cycle of variable duration and a perennial seasonal cycle. There is no evident point in the frequency spectrum where the trend ends and the business cycle begins. Therefore, unless it can be represented by a simple analytic function, such as an exponential growth path, there is bound to be a degree of arbitrariness in the definition of the trend. The business cycle, however defined, is liable to have an upper limit to its frequency range that falls short of the Nyquist frequency, which is the maximum observable frequency in sampled data. This must be taken into account in fitting an ARMA model to the detrended data.

Suggested Citation

  • D. S. G. Pollock, 2009. "Investigating Economic Trends and Cycles," Palgrave Macmillan Books, in: Terence C. Mills & Kerry Patterson (ed.), Palgrave Handbook of Econometrics, chapter 6, pages 243-307, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-0-230-24440-5_6
    DOI: 10.1057/9780230244405_6
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    Cited by:

    1. Blöchl, Andreas, 2014. "Trend Estimation with Penalized Splines as Mixed Models for Series with Structural Breaks," Discussion Papers in Economics 18446, University of Munich, Department of Economics.
    2. Barrales-Ruiz, Jose & Arnim, Rudiger von, 2021. "Endogenous fluctuations in demand and distribution: An empirical investigation," Structural Change and Economic Dynamics, Elsevier, vol. 58(C), pages 204-220.

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