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Trend Estimation

Author

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  • Proietti, Tommaso

Abstract

Trend estimation deals with the characterization of the underlying, or long–run, evolution of a time series. Despite being a very pervasive theme in time series analysis since its inception, it still raises a lot of controversies. The difficulties, or better, the challenges, lie in the identification of the sources of the trend dynamics, and in the definition of the time horizon which defines the long run. The prevalent view in the literature considers the trend as a genuinely latent component, i.e. as the component of the evolution of a series that is persistent and cannot be ascribed to observable factors. As a matter of fact, the univariate approaches reviewed here assume that the trend is either a deterministic or random function of time.

Suggested Citation

  • Proietti, Tommaso, 2010. "Trend Estimation," MPRA Paper 21607, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:21607
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    References listed on IDEAS

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    2. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    3. Ruppert,David & Wand,M. P. & Carroll,R. J., 2003. "Semiparametric Regression," Cambridge Books, Cambridge University Press, number 9780521780506, September.
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    5. Stock J.H. & Watson M.W., 2002. "Forecasting Using Principal Components From a Large Number of Predictors," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 1167-1179, December.
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    Cited by:

    1. Gallegati, Marco & Delli Gatti, Domenico, 2018. "Macrofinancial imbalances in historical perspective: A global crisis index," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 190-205.

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    More about this item

    Keywords

    Time series models; unobserved components.;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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