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Detrending Time-Aggregated Data

David Aadland ()

No 2002-05, Working Papers from Utah State University, Department of Economics

Abstract: This paper examines the combined influences of detrending and time aggregation on the measurement of business cycles. The approximate and-pass filter of Baxter and King (1999) performs relatively well in the sense that it retains the basic shape of disaggregate spectra and cospectra when applied to time aggregated data and is straightforward to apply across sampling intervals. Analysis of known time series processes and actual U.S. macro data, as well as simulation of a standard high-frequency RBC model, confirm the theoretical results.

JEL-codes: C1 E3 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2002-04
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ftp://repec.bus.usu.edu/RePEc/usu/pdf/ERI2002-05.pdf First version, 2002 (application/pdf)

Related works:
Journal Article: Detrending time-aggregated data (2005) Downloads
Working Paper: Detrending Time-Aggregated Data (2002) Downloads
Working Paper: Detrending Time-Aggregated Data (2002) Downloads
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