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Temporal aggregation of cyclical models with business cycle applications

Author

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  • Giacomo Sbrana

    (Pôle Finance Responsable - Rouen Business School - Rouen Business School)

  • Andrea Silvestrini

Abstract

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.

Suggested Citation

  • Giacomo Sbrana & Andrea Silvestrini, 2012. "Temporal aggregation of cyclical models with business cycle applications," Post-Print hal-00809247, HAL.
    • Handle: RePEc:hal:journl:hal-00809247
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    Cited by:

    1. Hang Zhao & Jun Zhang & Xiaohui Wang & Hongxia Yuan & Tianlu Gao & Chenxi Hu & Jing Yan, 2021. "The Economy and Policy Incorporated Computing System for Social Energy and Power Consumption Analysis," Sustainability, MDPI, vol. 13(18), pages 1-18, September.
    2. Riccardo De Bonis & Andrea Silvestrini, 2014. "The Italian financial cycle: 1861-2011," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 8(3), pages 301-334, September.

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