Extraction of Common Signal from Series with Different Frequency

Edoardo Otranto ()

Econometrics from EconWPA

Abstract: The extraction of a common signal from a group of time series is generally obtained using variables recorded with the same frequency or transformed to have the same frequency (monthly, quarterly, etc.). The statistical literature has not paid a great deal of attention to this topic. In this paper we extend an approach based on the use of dummy variables to the well known trend plus cycle model, in a multivariate context, using both quarterly and monthly data. This procedure is applied to the Italian economy, using the variables suggested by an Italian Institution (ISAE) to provide a national dating.

Keywords: Business cycle; State-space; Time Series; Trend; Turning Points (search for similar items in EconPapers)
JEL-codes: C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2005-02-18
Note: Type of Document - pdf; pages: 21. pdf file submitted via ftp
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpem:0502011

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