Investigating Economic Trends And Cycles
AbstractMethods are described for extracting the trend from an economic data sequence and for isolating the cycles that surround it. The latter often consist of a business cycle of variable duration and a perennial seasonal cycle. There is no evident point in the frequency spectrum where the trend ends and the business cycle begins. Therefore, unless it can be represented by a simple analytic function, such as an exponential growth path, there is bound to be a degree of arbitrariness in the definition of the trend. The business cycle, however defined, is liable to have an upper limit to its frequency range that falls short of the Nyquist frequency, which is the maximum observable frequency in sampled data. This must be taken into account in fitting an ARMA model to the detrended data.
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Bibliographic InfoPaper provided by Department of Economics, University of Leicester in its series Discussion Papers in Economics with number 07/17.
Date of creation: Nov 2007
Date of revision: Apr 2008
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-12-01 (All new papers)
- NEP-ECM-2007-12-01 (Econometrics)
- NEP-ETS-2007-12-01 (Econometric Time Series)
- NEP-MAC-2007-12-01 (Macroeconomics)
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