Time Series Regressions with Strong Trends

Li Chen, Jiti Gao and Farshid Vahid

Chapter 4 in Nonlinear Trending Time Series:Theory and Practice, 2024, pp 119-149 from World Scientific Publishing Co. Pte. Ltd.

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…

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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