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Models That Generate Trends

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  • C. W. J. Granger

Abstract

. Using the theory of divergent series, a class of linear filters are considered that when applied to a constant generate a wide class of deterministic trends in mean. If these filters are applied to a white noise, series are produced that have changing variances and may correspond to fractional integrated series. Some other trend‐generating mechanisms are also considered and methods of characterizing different trends are discussed.

Suggested Citation

  • C. W. J. Granger, 1988. "Models That Generate Trends," Journal of Time Series Analysis, Wiley Blackwell, vol. 9(4), pages 329-343, July.
    • Handle: RePEc:bla:jtsera:v:9:y:1988:i:4:p:329-343
    DOI: 10.1111/j.1467-9892.1988.tb00474.x
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    Cited by:

    1. Dittmann, Ingolf & Granger, Clive W. J., 2002. "Properties of nonlinear transformations of fractionally integrated processes," Journal of Econometrics, Elsevier, vol. 110(2), pages 113-133, October.
    2. Trevor Breusch & Farshid Vahid, 2008. "Global Temperature Trends," ANU Working Papers in Economics and Econometrics 2008-495, Australian National University, College of Business and Economics, School of Economics.
    3. Andersen, Torben G & Bollerslev, Tim, 1997. "Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns," Journal of Finance, American Finance Association, vol. 52(3), pages 975-1005, July.
    4. Granger, Clive W. J. & Ding, Zhuanxin, 1996. "Varieties of long memory models," Journal of Econometrics, Elsevier, vol. 73(1), pages 61-77, July.

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