Economics Research Institute Study Paper
Utah State University Department of Economics
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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.