Trending Time Series Models

Li Chen, Jiti Gao and Farshid Vahid

Chapter 2 in Nonlinear Trending Time Series:Theory and Practice, 2024, pp 35-77 from World Scientific Publishing Co. Pte. Ltd.

Abstract: In practice, it is crucial to establish the long-term association between economic variables, such as testing specific economic or scientific theories. For example, validating the permanent income hypothesis (PIH) may necessitate examining the long-run relationship between aggregate income and consumption. In these instances, direct regression of the nonstationary time series becomes essential, given that regressing their differenced versions primarily reflects short-term correlations only…

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 (search for similar items in EconPapers)
JEL-codes: C01 C1 Q5 (search for similar items in EconPapers)
Date: 2024
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