Economics Research Institute Study Paper
Utah State University Department of Economics
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. Simulation of a simple weekly RBC model confirms the theoretical results.
Aadland, David, "Detrending Time-Aggregated Data" (2002). Economic Research Institute Study Papers. Paper 238.