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Cycles and Trends

In: Introduction to Mathematical Systems Theory

Author

Listed:
  • Christiaan Heij

    (Erasmus University Rotterdam, Department of Econometrics)

  • André C.M. Ran

    (Vrije Universiteit, Department of Mathematics)

  • Frederik van Schagen

    (Vrije Universiteit, Department of Mathematics)

Abstract

For many time series, trends and cyclical fluctuations dominate the stationary part. The main cyclical components can be identified by spectral analysis. Trends and seasonals can either be incorporated explicitly in the model or they can be removed by filtering the data.

Suggested Citation

  • Christiaan Heij & André C.M. Ran & Frederik van Schagen, 2021. "Cycles and Trends," Springer Books, in: Introduction to Mathematical Systems Theory, edition 2, chapter 10, pages 157-176, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-59654-5_10
    DOI: 10.1007/978-3-030-59654-5_10
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