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Modelling trends and cycles in economic time series: historical perspective and future developments

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  • Terence C. Mills

    () (Department of Economics, Loughborough University, Loughborough, UK)

Abstract

This paper provides a retrospective on the modelling of trends and cycles in economic time series and considers where the research agenda currently stands and where future developments might lie. A brief survey of the early empirical research on trends and cycles is first provided before attention is focused on four papers published in 1961—our ‘annus mirabilis’ of trend and cycle modelling—which we argue have been ‘prime movers’ in various aspects of research in this area. The links from these papers to current research issues are then teased out before the likely future directions of research in both theoretical and applied aspects of the modelling of trends and cycles are considered.

Suggested Citation

  • Terence C. Mills, 2009. "Modelling trends and cycles in economic time series: historical perspective and future developments," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 3(3), pages 221-244, October.
  • Handle: RePEc:afc:cliome:v:3:y:2009:i:3:p:221-244
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    File URL: http://dx.doi.org/10.1007/s11698-008-0031-y
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    Cited by:

    1. José Luis Cendejas & Félix-Fernando Muñoz & Nadia Fernández-de-Pinedo, 2017. "A contribution to the analysis of historical economic fluctuations (1870–2010): filtering, spurious cycles, and unobserved component modeling," Cliometrica, Springer;Cliometric Society (Association Francaise de Cliométrie), vol. 11(1), pages 93-125, January.
    2. Nicholas Crafts & Terence C. Mills, 2017. "Six centuries of British economic growth: a time-series perspective," European Review of Economic History, Oxford University Press, vol. 21(2), pages 141-158.
    3. Riccardo De Bonis & Andrea Silvestrini, 2014. "The Italian financial cycle: 1861-2011," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 8(3), pages 301-334, September.

    More about this item

    Keywords

    Cycles; Decompositions; Time series; Trends;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • N1 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations

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