Munich Personal RePEc Archive

Trend Estimation

Proietti, Tommaso (2010): Trend Estimation.

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Trend estimation deals with the characterization of the underlying, or long–run, evolution of a time series. Despite being a very pervasive theme in time series analysis since its inception, it still raises a lot of controversies. The difficulties, or better, the challenges, lie in the identification of the sources of the trend dynamics, and in the definition of the time horizon which defines the long run. The prevalent view in the literature considers the trend as a genuinely latent component, i.e. as the component of the evolution of a series that is persistent and cannot be ascribed to observable factors. As a matter of fact, the univariate approaches reviewed here assume that the trend is either a deterministic or random function of time.

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