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Detrending time-aggregated data

Listed author(s):
  • Aadland, David

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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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 89 (2005)
Issue (Month): 3 (December)
Pages: 287-293

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Handle: RePEc:eee:ecolet:v:89:y:2005:i:3:p:287-293
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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