Search: Trend

Sort by: Relevance Date
1–7 of 7 collapsed search results for Trend

RBA Glossary definition for Trend

Trend – A trend series is a seasonally adjusted series that has been further adjusted to remove irregular effects and �smooth� out the series to show the overall �trend� of the data over time. This series is usually provided by the Australian Bureau of Statistics.

Search Results

Three Vector Autoregressive Models

1 Jan 1988 RDP 8802
Robert G. Trevor and Susan J. Thorp
The first VAR we consider, models the trend component of the vector Y. ... In the special case. , the trend in that equation collapses to a deterministic trend.
https://www.rba.gov.au/publications/rdp/1988/8802/three-vector-autoregressive-models.html

VAR Forecasting Models of the Australian Economy: A Preliminary Analysis

1 Jan 1988 RDP 8802
Robert G. Trevor and Susan J. Thorp
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/1988/8802.html

Introduction

1 Jan 1988 RDP 8802
Robert G. Trevor and Susan J. Thorp
We also, unsuccessfully, consider a fairly general stochastic trend procedure. No allowance is made for common trends at this stage of our research as they often involve complex estimation strategies. ... Common trends and co-integration refer to the
https://www.rba.gov.au/publications/rdp/1988/8802/introduction.html

References

1 Jan 1988 RDP 8802
Robert G. Trevor and Susan J. Thorp
Nelson, C.R. and C.I. Plosser (1982), “Trends and Random Walks in Macroeconomic Time Series”,. ... 8608. Watson, M.W. (1986) “Univariate Detrending Methods with Stochastic Trends”,. Journal of Monetary Economics.
https://www.rba.gov.au/publications/rdp/1988/8802/references.html

Forecast Evaluation

1 Jan 1988 RDP 8802
Robert G. Trevor and Susan J. Thorp
The VAR(T) model in particular tends to move very strongly on trend and thus tends to perform badly over this period. ... The BVAR model is much less dominated by trend and consequently tracks the actual outcomes more closely.
https://www.rba.gov.au/publications/rdp/1988/8802/forecast-evaluation.html

Conclusions and Future Directions

1 Jan 1988 RDP 8802
Robert G. Trevor and Susan J. Thorp
The first two models approach the issue of detrending in a fairly mechanical way – applying a linear time trend in one case and first differences in the other. ... The first method would replace the VARs estimated with a time trend or first differences
https://www.rba.gov.au/publications/rdp/1988/8802/conclusions-and-future-directions.html

Evidence on VAR Forecasting

1 Jan 1988 RDP 8802
Robert G. Trevor and Susan J. Thorp
Each equation thus has (mxn) coefficients on lagged variables and possibly some coefficients on trend variables.
https://www.rba.gov.au/publications/rdp/1988/8802/evidence-on-var-forecasting.html