haku: @indexterm TIME SERIES / yhteensä: 413
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| Tekijä: | Harvey, A. |
| Otsikko: | Trends, cycles and autoregressions |
| Lehti: | Economic Journal
1997 : JAN, VOL. 107:440, p. 192-234 |
| Asiasana: | ECONOMICS TIME SERIES MODELS |
| Kieli: | eng |
| Tiivistelmä: | A causal inspection of many economic time series shows that they have trends. It is equally apparent that, unless the time period is fairly short, these trends cannot be adequately captured by straight lines. In other words, a deterministic linear time trend is too restrictive. Despite this, a good deal of applied economic work starts off by detrending the data by regressing on time, thereby rendering all that follows invalid. In recent years, it has become fashionable to detrend using the Hodrick-Prescott filter. |
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