Trending Multiple Time Series: Editor's Introduction

One of the more obvious empirical characteristics of macroeconomic time series is their tendency to grow, or trend, over time. Dealing with this trendnonstationarity in models of multiple time series has been a major agenda of econometric research for much of the last decade and has produced an enormous literature. Equally, the goal of developing a general asymptotic theory of inference for stochastic processes has been a long-standing concern of probabilists and statisticians. Finally, understanding and modeling trend processes and cyclical activity lie at the nerve center of much of modern macroeconomics. As a consequence, research on nonstationary time series has brought statisticians, econometricians, and macroeconomists close together in productive ways that simply could not have been anticipated 10 years ago.