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Detrending Time-Aggregated Data

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  • David Aadland

Abstract

This paper examines the combined influences of detrending and time aggregation on the measurement of business cycles. The approximate and-pass filter of Baxter and King (1999) performs relatively well in the sense that it retains the basic shape of disaggregate spectra and cospectra when applied to time aggregated data and is straightforward to apply across sampling intervals. Analysis of known time series processes and actual U.S. macro data, as well as simulation of a standard high-frequency RBC model, confirm the theoretical results.

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Paper provided by Utah State University, Department of Economics in its series Working Papers with number 2002-05.

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Length: 37 pages
Date of creation: Apr 2002
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Handle: RePEc:usu:wpaper:2002-05

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Cited by:
  1. Sella Lisa, 2008. "Old and New Spectral Techniques for Economic Time Series," Department of Economics and Statistics Cognetti de Martiis. Working Papers 200809, University of Turin.

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