MODELS THAT GENERATE TRENDS

Clive Granger

Journal of Time Series Analysis, 1988, vol. 9, issue 4, 329-343

Abstract: 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.

Date: 1988
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