Mills Modelling Trends and Cycles in Economic Time Series

2. Auflage 2021
ISBN: 978-3-030-76359-6
Verlag: Springer International Publishing
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, 214 Seiten, eBook

Reihe: Palgrave Texts in Econometrics

Modelling trends and cycles in economic time series has a long history, with the use of linear trends and moving averages forming the basic tool kit of economists until the 1970s. Several developments in econometrics then led to an overhaul of the techniques used to extract trends and cycles from time series. In this second edition, Terence Mills expands on the research in the area of trends and cycles over the last (almost) two decades, to highlight to students and researchers the variety of techniques and the considerations that underpin their choice for modelling trends and cycles.

Zielgruppe

Research

Autoren/Hrsg.

Mills, Terence C.

Inhaltsverzeichnis

1 Introduction.- 2 ‘Classical’ Techniques of Modelling Trends and Cycles.- 3 Stochastic Trends and Cycles.- 4 Filtering Economic Time Series.- 5 Nonlinear and Nonparametric Trend and Cycle Modelling.- 6 Multivariate Modelling of Trends and Cycles.- 7 Conclusions.

Über Autor(innen)

Terence C. Mills
is Emeritus Professor of Applied Statistics and Econometrics at Loughborough University, UK, where he was previously Head of the department of Economics. He previously held professorial appointments at City University business school and Hull. He is the author of 
Time Series Techniques for Economists
 and 
The Econometric Modelling of Financial Time Series
, plus over one hundred articles in journals and books.