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Univariate detrending methods with stochastic trends · Study

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ArticleUnivariate detrending methods with stochastic trends

Mark W. Watson1986

Article1986

Univariate detrending methods with stochastic trends

851 citations·0/0 files stored·Journal of Monetary Economics

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Monetary Policy and Economic Impact Forecasting Techniques and Applications Statistical and numerical algorithms

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References

1982Trends and random walks in macroeconmic time series 1978Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence 1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’1978Econometric Modelling of the Aggregate Time-Series Relationship Between Consumers' Expenditure and Income in the United Kingdom 1981The Adjustment of Consumption to Changing Expectations About Future Income

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1992Common stochastic trends in international stock markets 1987Are Output Fluctuations Transitory?1993Low frequency filtering and real business cycles 1987The Cyclical Component of U. S. Economic Activity 1988Variable Trends in Economic Time Series 1988Sources of Business Cycle Fluctuations 1989Common Stochastic Trends in a System of Exchange Rates 1989Long memory and persistence in aggregate output

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1991Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Rootsarticle · 5 shared references 1996Time-Series-Based Econometricsbook · 5 shared references 1989Why is Consumption So Smooth?article · 4 shared references 1990Unit roots in real GNP: Do we know, and do we care?other · 4 shared references 1994Chapter 46 Unit roots, structural breaks and trendschapter · 4 shared references 1991Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Rootsarticle · 4 shared references

Details

Year1986

Typearticle

Published1986-07-01

VenueJournal of Monetary Economics

ISSN-L0304-3932

Languageen

Citations851

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/0304-3932(86)90054-1

openalex_workW2073684029

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