Document Type
Article
Journal/Book Title/Conference
Economics Research Institute Study Paper
Volume
5
Publisher
Utah State University Department of Economics
Publication Date
2002
Rights
Copyright for this work is held by the author. Transmission or reproduction of materials protected by copyright beyond that allowed by fair use requires the written permission of the copyright owners. Works not in the public domain cannot be commercially exploited without permission of the copyright owner. Responsibility for any use rests exclusively with the user. For more information contact the Institutional Repository Librarian at digitalcommons@usu.edu.
First Page
1
Last Page
39
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. Simulation of a simple weekly RBC model confirms the theoretical results.
Recommended Citation
Aadland, David, "Detrending Time-Aggregated Data" (2002). Economic Research Institute Study Papers. Paper 238.
https://digitalcommons.usu.edu/eri/238