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Introduction to the Univariate Analysis of Trends in Economic Time Series

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  • Silva Lopes, Artur

Abstract

This book provides a comprehensive and systematic review of most of the literature on the univariate analysis of trends in economic time series. It also provides original insights and criticisms on some of the topics that are addressed. Its chapter structure is as follows. 1 Introduction (preliminary issues). 2 Historical perspective. 3 Modeling the trend. 4 Decomposition methods. 5 Testing for the presence of a trend. Annex: A brief introduction to filters.

Suggested Citation

  • Silva Lopes, Artur, 2025. "Introduction to the Univariate Analysis of Trends in Economic Time Series," EconStor Preprints 323383, ZBW - Leibniz Information Centre for Economics.
    • Handle: RePEc:zbw:esprep:323383
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    File URL: https://www.econstor.eu/bitstream/10419/323383/1/Univariate-Analysis-of-Trends-in-Economic-Time-Series.pdf
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    References listed on IDEAS

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    1. Ventosa-Santaulària Daniel & Gómez-Zaldívar Manuel, 2011. "Testing for a Deterministic Trend When There is Evidence of Unit Root," Journal of Time Series Econometrics, De Gruyter, vol. 2(2), pages 1-26, January.
    2. Stock, James H & Watson, Mark W, 1988. "Variable Trends in Economic Time Series," Journal of Economic Perspectives, American Economic Association, vol. 2(3), pages 147-174, Summer.
    3. Vougas, Dimitrios V., 2007. "Is the trend in post-WW II US real GDP uncertain or non-linear?," Economics Letters, Elsevier, vol. 94(3), pages 348-355, March.
    4. White Halbert & Granger Clive W.J., 2011. "Consideration of Trends in Time Series," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-40, February.
    5. Wu, Jilin, 2016. "A test for changing trends with monotonic power," Economics Letters, Elsevier, vol. 141(C), pages 15-19.
    6. Yang, Yang & Wang, Shaoping, 2017. "Two simple tests of the trend hypothesis under time-varying variance," Economics Letters, Elsevier, vol. 156(C), pages 123-128.
    7. Robert Sollis, 2005. "Evidence on purchasing power parity from univariate models: the case of smooth transition trend‐stationarity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(1), pages 79-98, January.
    8. Yamada, Hiroshi, 2020. "A Smoothing Method That Looks Like The Hodrick–Prescott Filter," Econometric Theory, Cambridge University Press, vol. 36(5), pages 961-981, October.
    9. Victor Zarnowitz, 1992. "Business Cycles: Theory, History, Indicators, and Forecasting," NBER Books, National Bureau of Economic Research, Inc, number zarn92-1, December.
    10. Terasvirta, Timo & Tjostheim, Dag & Granger, Clive W. J., 2010. "Modelling Nonlinear Economic Time Series," OUP Catalogue, Oxford University Press, number 9780199587155.
    11. Timothy J. Vogelsang, 1998. "Trend Function Hypothesis Testing in the Presence of Serial Correlation," Econometrica, Econometric Society, vol. 66(1), pages 123-148, January.
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    Keywords

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    JEL classification:

    • B23 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Econometrics; Quantitative and Mathematical Studies
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • O47 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - Empirical Studies of Economic Growth; Aggregate Productivity; Cross-Country Output Convergence

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