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Modelling Trends and Cycles in Economic Time Series

Part of the Palgrave Texts in Econometrics Book Series

DOI: 10.1007/978-3-030-76359-6

ISBN: 978-3-030-76358-9

Publisher: Springer International Publishing - Springer Journals

Jul 30, 2021

Available

Introduction

Mills, Terence C.

Pages: 1 –15

[This chapter begins with a historical perspective on the analysis of trends and cycles in economic time series, beginning with the early studies of business cycles in the late nineteenth century, before moving on to the introduction of the concept of trends in the early years of the twentieth...
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‘Classical’ Techniques of Modelling Trends and Cycles

Mills, Terence C.

Pages: 17 –42

[This chapter begins by introducing the ‘classical’ trend-cycle decomposition, in which a time series is split additively into trend and cyclical components that are assumed to be statistically independent of each other. Deterministic models for the trend are then introduced, which may be...
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Stochastic Trends and Cycles

Mills, Terence C.

Pages: 43 –90

[This chapter begins by introducing the concept of stochastic trends through the use of autoregressive-integrated-moving average (ARIMA) models. It is shown that the order of integration, or degree of differencing, that a time series exhibits is of fundamental importance for determining the...
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Filtering Economic Time Series

Mills, Terence C.

Pages: 91 –124

[This chapter begins by examining the use of linear filters for detrending, with particular attention being paid to the frequency domain properties of symmetric linear filters. Low-pass, high-pass and band-pass filters are introduced, and their design and properties analysed. A popular technique...
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Nonlinear and Nonparametric Trend and Cycle Modelling

Mills, Terence C.

Pages: 125 –145

[This chapter begins with the development of regime shift models, starting with Markov processes and then considering threshold and smooth transition regime models. Model selection issues are a focus here, as are the different implications of the alternative models for trend and cycle behaviour....
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Multivariate Modelling of Trends and Cycles

Mills, Terence C.

Pages: 147 –181

[This chapter begins by introducing the concept of common features in time series, focusing on their specification and testing. The modelling of common cycles and codependence and of common deterministic trends is then discussed. The concept of common stochastic trends is then introduced, along...
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Conclusions

Mills, Terence C.

Pages: 183 –185

[This chapter provides brief conclusions and some remarks about the understanding of trend behaviour and the occurrence of structural breaks at the present time.]

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