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Modelling Trends and Cycles in Economic Time SeriesNonlinear and Nonparametric Trend and Cycle Modelling

Modelling Trends and Cycles in Economic Time Series: Nonlinear and Nonparametric Trend and Cycle... [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. Nonparametric modelling of trends is then considered. Here attention is focused on smoothing estimators, along with kernel and local polynomial regression. Finally, nonlinear stochastic trends are introduced. Further reading and references are provided.] http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png

Modelling Trends and Cycles in Economic Time SeriesNonlinear and Nonparametric Trend and Cycle Modelling

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Publisher
Springer International Publishing
Copyright
© The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerland AG 2021. 1st edition: © Terence C. Mills 2003
ISBN
978-3-030-76358-9
Pages
125 –145
DOI
10.1007/978-3-030-76359-6_5
Publisher site
See Chapter on Publisher Site

Abstract

[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. Nonparametric modelling of trends is then considered. Here attention is focused on smoothing estimators, along with kernel and local polynomial regression. Finally, nonlinear stochastic trends are introduced. Further reading and references are provided.]

Published: Jul 30, 2021

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