Investigating Economic Trends And Cycles

David Pollock ()

No 07/17, Discussion Papers in Economics from Division of Economics, School of Business, University of Leicester

Abstract: Methods are described for extracting the trend from an economic data sequence and for isolating the cycles that surround it. The latter often consist of a business cycle of variable duration and a perennial seasonal cycle. There is no evident point in the frequency spectrum where the trend ends and the business cycle begins. Therefore, unless it can be represented by a simple analytic function, such as an exponential growth path, there is bound to be a degree of arbitrariness in the definition of the trend. The business cycle, however defined, is liable to have an upper limit to its frequency range that falls short of the Nyquist frequency, which is the maximum observable frequency in sampled data. This must be taken into account in fitting an ARMA model to the detrended data.

Date: 2007-11, Revised 2008-04
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mac
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