Nonlinear Trending Time Series

Theory And Practice

Li Chen (Xiamen University, China), Jiti Gao (Monash University, Australia), Farshid Vahid (Monash University, Australia)

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English

World Scientific Publishing Co Pte Ltd
01 November 2024

Econometrics; Economic statistics; Global warming

Series: World Scientific Series On Econometrics And Statistics

Summary
Details

Trends often play a dominant role in many empirical time series data, but do we truly understand these trends? What challenges arise when dealing with complex, nonstationary trending time series? How do we model such trends in fields like economics, finance, and climate change?

This book provides an overview of recently developed models for trending time series and introduces new nonlinear, nonparametric, and semiparametric methods. Specifically, it offers practical approaches to address the problem of endogeneity in linear trending regression models where the trend component is either weak or strong. Additionally, it proposes a testing procedure for identifying common trends across multiple time series and includes illustrative examples from economics, finance, and climate change.

As a practical toolbox, this book equips analysts with essential methods for investigating trends in their research and applications.

By: Li Chen (Xiamen University China), Jiti Gao (Monash University, Australia), Farshid Vahid (Monash University, Australia)
Imprint: World Scientific Publishing Co Pte Ltd
Country of Publication: Singapore
Volume: 2
ISBN: 9789811293344
ISBN 10: 9811293341
Series: World Scientific Series On Econometrics And Statistics
Pages: 276
Publication Date: 01 November 2024
Audience: College/higher education , Professional and scholarly , Primary , Undergraduate
Format: Hardback
Publisher's Status: Active