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Temporal aggregation of cyclical models with business cycle applications

  • Giacomo Sbrana

    ()

  • Andrea Silvestrini

    ()

This paper focuses on temporal aggregation of the cyclical component model as introduced by Harvey (1989). More specifically, it provides the properties of the aggregate process for any generic period of aggregation. As a consequence, the exact link between aggregate and disaggregate parameters can be easily derived. The cyclical model is important due to its relevance in the analysis of business cycle. Given this, two empirical applications are presented in order to compare the estimated parameters of the quarterly models for German and US gross domestic products with those of the corresponding models aggregated to annual frequency.

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File URL: http://hdl.handle.net/10.1007/s10260-011-0181-0
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Article provided by Springer in its journal Statistical Methods & Applications.

Volume (Year): 21 (2012)
Issue (Month): 1 (March)
Pages: 93-107

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Handle: RePEc:spr:stmapp:v:21:y:2012:i:1:p:93-107
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  1. [Reference to Proietti], Tommaso, 2000. "Comparing seasonal components for structural time series models," International Journal of Forecasting, Elsevier, vol. 16(2), pages 247-260.
  2. Robert J. Hodrick & Edward Prescott, 1981. "Post-War U.S. Business Cycles: An Empirical Investigation," Discussion Papers 451, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  3. Weiss, Andrew A., 1984. "Systematic sampling and temporal aggregation in time series models," Journal of Econometrics, Elsevier, vol. 26(3), pages 271-281, December.
  4. Giacomo Sbrana, 2011. "Structural time series models and aggregation: some analytical results," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(3), pages 315-316, 05.
  5. Brewer, K. R. W., 1973. "Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models," Journal of Econometrics, Elsevier, vol. 1(2), pages 133-154, June.
  6. Andrea Silvestrini & David Veredas, 2008. "Temporal aggregation of univariate and multivariate time series models: a survey," ULB Institutional Repository 2013/136205, ULB -- Universite Libre de Bruxelles.
  7. Hassler, Uwe, 2011. "Estimation of fractional integration under temporal aggregation," Journal of Econometrics, Elsevier, vol. 162(2), pages 240-247, June.
  8. Alessandra Luati & Tommaso Proietti, 2010. "Hyper-spherical and elliptical stochastic cycles," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(3), pages 169-181, 05.
  9. Clark, Peter K, 1987. "The Cyclical Component of U.S. Economic Activity," The Quarterly Journal of Economics, MIT Press, vol. 102(4), pages 797-814, November.
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