Detrending time-aggregated data

被引：2
|
作者：
Aadland, D [1 ]
机构：
[1] Univ Wyoming, Dept Econ & Finance, Laramie, WY 82071 USA
来源：
ECONOMICS LETTERS | 2005年 / 89卷 / 03期
关键词：
aggregation; detrending; spectral; abasing; filters;
D O I：
10.1016/j.econlet.2005.06.01
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper examines the combined influences of detrending and time aggregation on the measurement of business cycles. The results indicate that time aggregation and detrending do indeed interact in a non-trivial manner. In particular, detrending filters that pass through substantial high-frequency variation tend to distort the basic shape of disaggregate spectra and cospectra when applied to time-aggregated data and can even give the illusion of business-cycle variation in aggregate data when none is present in the basic data. (c) 2005 Elsevier B.V. All rights reserved.
引用
收藏
页码：287 / 293
页数：7
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