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Time Series Regressions with Strong Trends

In: NONLINEAR TRENDING TIME SERIES Theory and Practice

Author

Listed:
  • Li Chen
  • Jiti Gao
  • Farshid Vahid

Abstract

It is widely recognized that many empirical time series data, such as macroeconomic aggregates, financial prices, and climatic observations, exhibit dominant trend-like and random wandering behavior. This feature is often apparent by the first glance at their time series plots. However, when trending regressors are included in econometric models, we lack appropriate methods to provide a quantitative measure of the strength of trends and the statistical consequences for econometric regressions…

Suggested Citation

  • Li Chen & Jiti Gao & Farshid Vahid, 2024. "Time Series Regressions with Strong Trends," World Scientific Book Chapters, in: NONLINEAR TRENDING TIME SERIES Theory and Practice, chapter 4, pages 119-149, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811293351_0004
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    More about this item

    Keywords

    Econometrics; Time Series; Time Series Analysis; Time Trend; Deterministic Trend; Stochastic Trend; Nonlinear Time Series; Nonlinear Models; Trending Time Series; Nonparametric Models; Semiparametric Models; Climate Change; Climate Change Econometrics; Strong Trend; Weak Trend; Common Trend; Statistical Tests;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • Q5 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics

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