Jump to ContentJump to Main Navigation
Show Summary Details
In This Section

Journal of Time Series Econometrics

Editor-in-Chief: Hidalgo, Javier

2 Issues per year


Mathematical Citation Quotient (MCQ) 2015: 0.04

Online
ISSN
1941-1928
See all formats and pricing
In This Section

Consideration of Trends in Time Series

Halbert White
  • University of California, San Diego
/ Clive W.J. Granger
  • University of California, San Diego
Published Online: 2011-02-03 | DOI: https://doi.org/10.2202/1941-1928.1092

Even though the trend components of economic time series were among the first to be distinguished, even today the trend remains relatively little understood. As Phillips (2005) notes, no one understands trends, but everyone sees them in the data. Economists and econometricians can give plenty of examples of trends, such as straight lines, exponentials or polynomials in time, and also forms of random walks, but these are merely examples. Individuals or groups do have their own personal definitions, but these diverse approaches illustrate the lack of a generally accepted definition of a trend. They also suggest a richness of alternatives to consider, both individually and jointly. Here, we make a variety of observations about trends, and based on these, we offer working definitions of various kinds of trends. We emphasize that these are working definitions, as our purpose here is to invite discussion, not to settle matters once and for all. Our hope is that our discussion here may facilitate development of increasingly better methods for prediction, estimation and hypothesis testing for non-stationary time-series data, and ultimately may enable decision makers to make more informed decisions.

About the article

Published Online: 2011-02-03



Citation Information: Journal of Time Series Econometrics, ISSN (Online) 1941-1928, DOI: https://doi.org/10.2202/1941-1928.1092. Export Citation

Citing Articles

Here you can find all Crossref-listed publications in which this article is cited. If you would like to receive automatic email messages as soon as this article is cited in other publications, simply activate the “Citation Alert” on the top of this page.

[2]
Jerald F. Lawless, Candemır Çiğşar, and Richard J. Cook
Technometrics, 2012, Volume 54, Number 2, Page 147
[3]
Daniela Cortés-Toto, Víctor M. Guerrero, and Hortensia Reyes Cervantes
Communications in Statistics - Simulation and Computation, 2015, Page 00
[4]
T. C. Mills and K. D. Patterson
Journal of Economic Surveys, 2015, Volume 29, Number 3, Page 527
[5]
Joël Cariolle and Michaël Goujon
Journal of Economic Surveys, 2015, Volume 29, Number 1, Page 1
[6]
Yonghui Zhang, Liangjun Su, and Peter C. B. Phillips
The Econometrics Journal, 2012, Volume 15, Number 1, Page 56

Comments (0)

Please log in or register to comment.
Log in