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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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Suggested Citation

  • Phillips, Peter C. B., 2001. "Trending time series and macroeconomic activity: Some present and future challenges," Journal of Econometrics, Elsevier, vol. 100(1), pages 21-27, January.
  • Handle: RePEc:eee:econom:v:100:y:2001:i:1:p:21-27
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    References listed on IDEAS

    as
    1. Joon Y. Park & Peter C. B. Phillips, 2000. "Nonstationary Binary Choice," Econometrica, Econometric Society, pages 1249-1280.
    2. 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 971-987, December.
    3. 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.
    4. Phillips, Peter C B, 1996. "Econometric Model Determination," Econometrica, Econometric Society, vol. 64(4), pages 763-812, July.
    5. Oded Galor & Joseph Zeira, 1993. "Income Distribution and Macroeconomics," Review of Economic Studies, Oxford University Press, vol. 60(1), pages 35-52.
    6. 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.
    7. Phillips, Peter C. B., 2002. "New unit root asymptotics in the presence of deterministic trends," Journal of Econometrics, Elsevier, pages 323-353.
    8. Werner Ploberger & Peter C. B. Phillips, 2003. "Empirical Limits for Time Series Econometric Models," Econometrica, Econometric Society, pages 627-673.
    9. Peter C. B. Phillips, 1998. "New Tools for Understanding Spurious Regressions," Econometrica, Econometric Society, vol. 66(6), pages 1299-1326, November.
    10. Peter C.B. Phillips, 1998. "Econometric Analysis of Fisher's Equation," Cowles Foundation Discussion Papers 1180, Cowles Foundation for Research in Economics, Yale University.
    11. Phillips, P.C.B., 1986. "Understanding spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 33(3), pages 311-340, December.
    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. Paul R. Krugman, 1991. "Target Zones and Exchange Rate Dynamics," The Quarterly Journal of Economics, Oxford University Press, vol. 106(3), pages 669-682.
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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. 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.
    3. Chen, Jia & Gao, Jiti & Li, Degui, 2012. "Semiparametric trending panel data models with cross-sectional dependence," Journal of Econometrics, Elsevier, pages 71-85.
    4. 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.
    5. Gallegati, Marco & Ramsey, James B., 2014. "The forward looking information content of equity and bond markets for aggregate investments," Journal of Economics and Business, Elsevier, vol. 75(C), pages 1-24.
    6. Javier Hidalgo & Jungyoon Lee, 2014. "A Cusum Test of Common Trends in Large Heterogeneous Panels," STICERD - Econometrics Paper Series 576, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    7. Zongwu Cai, 2013. "Functional Coefficient Models for Economic and Financial Data," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    8. repec:cep:stiecm:/2014/576 is not listed on IDEAS
    9. repec:gam:jeners:v:10:y:2017:i:11:p:1918-:d:119727 is not listed on IDEAS
    10. Yonghui Zhang & Liangjun Su & Peter C. B. Phillips, 2012. "Testing for common trends in semiā€parametric panel data models with fixed effects," Econometrics Journal, Royal Economic Society, vol. 15(1), pages 56-100, February.
    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.
    12. 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.
    13. Baillie, Richard T. & Kim, Kun Ho, 2015. "Was it risk? Or was it fundamentals? Explaining excess currency returns with kernel smoothed regressions," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 99-111.
    14. 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.
    15. Adom, Philip Kofi, 2015. "Asymmetric impacts of the determinants of energy intensity in Nigeria," Energy Economics, Elsevier, vol. 49(C), pages 570-580.
    16. repec:eee:eneeco:v:67:y:2017:i:c:p:255-267 is not listed on IDEAS
    17. 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.
    18. Engelbrecht, Hans-Jurgen, 2001. "Statistics for the information age," Information Economics and Policy, Elsevier, vol. 13(3), pages 339-349, September.

    More about this item

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E10 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - General

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