Nonlinear Trending Time Series: Theory and Practice
Nonlinear Trending Time Series: Theory and Practice
English | 2025 | ISBN: 9811293341 | 274 Pages | PDF (True) | 9 MB
English | 2025 | ISBN: 9811293341 | 274 Pages | PDF (True) | 9 MB
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.