The local linear trend and global linear trend models embody extreme assumptions about trends. According to the local linear trend formulation the level and growth rate are allowed to rapidly adapt to changes in the data path. On the other hand, the Glaobal linear trend model makes no allowance for structural change. In this paper we introduce a new model that, as well as encompassing the global linear trend and local linear trend models, allows for a range of "in between" cases.
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Find related papers by JEL classification: C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
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