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Detrending Time-Aggregated Data

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Author Info
David Aadland (Utah State University)

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Abstract

This paper examines the combined influences of detrending and time aggregation on the measurement of business cycles. The approximate band- 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 EconWPA in its series Macroeconomics with number 0301007.

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Date of creation: 15 Nov 2002
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Handle: RePEc:wpa:wuwpma:0301007

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Related research
Keywords: detrending aliasing temporal aggregation filters;

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Find related papers by JEL classification:
C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General
E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Sella Lisa, 2008. "Old and new spectral techniques for economic time series," Department of Economics Working Papers 200809, University of Turin. [Downloadable!]
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