Detrending Time-Aggregated Data

David Aadland ()

Macroeconomics from University Library of Munich, Germany

Abstract: This paper examines the combined influences of detrending and time aggregation on the measurement of business cycles. The approximate band- 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.

Keywords: detrending; aliasing; temporal; aggregation; filters (search for similar items in EconPapers)
JEL-codes: C1 E3 (search for similar items in EconPapers)
Date: 2002-11-15
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-rmg
Note: Type of Document -
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Related works:
Journal Article: Detrending time-aggregated data (2005)
Working Paper: Detrending Time-Aggregated Data (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpma:0301007

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