EconPapers    
Economics at your fingertips  
 

Temporal aggregation of cyclical models with business cycle applications

Giacomo Sbrana and Andrea Silvestrini

Post-Print from HAL

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.

Date: 2012-03
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Published in Statistical Methods and Applications, 2012, Vol. 21 (Issue 1), pp 93-107

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Temporal aggregation of cyclical models with business cycle applications (2012) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00809247

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD (hal@ccsd.cnrs.fr).

 
Page updated 2024-09-07
Handle: RePEc:hal:journl:hal-00809247