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Modelling trends and cycles in economic time series: historical perspective and future developments

Author

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  • Terence C. Mills

    (Department of Economics, Loughborough University, Loughborough, UK)

Abstract
This paper provides a retrospective on the modelling of trends and cycles in economic time series and considers where the research agenda currently stands and where future developments might lie. A brief survey of the early empirical research on trends and cycles is first provided before attention is focused on four papers published in 1961—our ‘annus mirabilis’ of trend and cycle modelling—which we argue have been ‘prime movers’ in various aspects of research in this area. The links from these papers to current research issues are then teased out before the likely future directions of research in both theoretical and applied aspects of the modelling of trends and cycles are considered.

Suggested Citation

  • Terence C. Mills, 2009. "Modelling trends and cycles in economic time series: historical perspective and future developments," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 3(3), pages 221-244, October.
    • Handle: RePEc:afc:cliome:v:3:y:2009:i:3:p:221-244
    DOI: 10.1007/s11698-008-0031-y
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    Citations

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    Cited by:

    1. José Luis Cendejas & Félix-Fernando Muñoz & Nadia Fernández-de-Pinedo, 2017. "A contribution to the analysis of historical economic fluctuations (1870–2010): filtering, spurious cycles, and unobserved component modeling," Cliometrica, Springer;Cliometric Society (Association Francaise de Cliométrie), vol. 11(1), pages 93-125, January.
    2. David Greasley & Les Oxley, 2010. "Cliometrics And Time Series Econometrics: Some Theory And Applications," Journal of Economic Surveys, Wiley Blackwell, vol. 24(5), pages 970-1042, December.
    3. Crafts, Nicholas & Mills, Terence C., 2019. "The Pre-1914 UK Productivity Slowdown: A Reappraisal," The Warwick Economics Research Paper Series (TWERPS) 1221, University of Warwick, Department of Economics.
    4. Andaleeb Rahman, 2012. "Characterizing food prices in India," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2012-022, Indira Gandhi Institute of Development Research, Mumbai, India.
    5. Nicholas Crafts & Terence C. Mills, 2017. "Six centuries of British economic growth: a time-series perspective," European Review of Economic History, European Historical Economics Society, vol. 21(2), pages 141-158.
    6. Rainer Metz, 2011. "Do Kondratieff waves exist? How time series techniques can help to solve the problem," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 5(3), pages 205-238, October.
    7. Riccardo De Bonis & Andrea Silvestrini, 2014. "The Italian financial cycle: 1861-2011," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 8(3), pages 301-334, September.

    More about this item

    Keywords

    Cycles; Decompositions; Time series; Trends;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • N1 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations

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