Nonlinear and Nonparametric Trend Modelling

Mills, Terence C.

doi:10.1057/9780230595521_5

Terence C. Mills²

Part of the book series: Palgrave Texts in Econometrics ((PTEC))

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Abstract

Consider once again the basic trend-cycle UC decomposition y_t = μ_t + ɛ_t, but where the trend component now follows the process

$${\mu _t} = \beta \left( {{m_t}} \right) + {\mu _{t - 1}} = {\beta _0} + {\beta _1}{m_t} + {\mu _{t - 1}}$$

((5.1))

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Authors and Affiliations

Department of Economics, Loughborough University, UK
Terence C. Mills (Professor of Applied Statistics and Econometrics)

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Terence C. Mills
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Mills, T.C. (2003). Nonlinear and Nonparametric Trend Modelling. In: Modelling Trends and Cycles in Economic Time Series. Palgrave Texts in Econometrics. Palgrave Macmillan, London. https://doi.org/10.1057/9780230595521_5

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DOI: https://doi.org/10.1057/9780230595521_5
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-4039-0209-2
Online ISBN: 978-0-230-59552-1
eBook Packages: Palgrave Economics & Finance CollectionEconomics and Finance (R0)

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