Univariate Detrending Methods with Stochastic Trends


This paper discusses detrending economic time series, when the trend is modelled as a stochastic process. It considers unobserved components models in which the observed series is decomposed into a trend (a random walk with drift) and a residual stationary component. Optimal detrending methods are discussed, as well as problems associated with using these… (More)


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@inproceedings{Watson1985UnivariateDM, title={Univariate Detrending Methods with Stochastic Trends}, author={Mark W. Watson and Andy Abel and Olivier Jean Blanchard and Rob Engle}, year={1985} }