Detrending time-aggregated data

DOI10.1016/J.ECONLET.2005.06.001MaRDI QIDQ1928709zbMATH OpenOpenAlexFDO

Authors David Aadland

Publication date 3 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://digitalcommons.usu.edu/cgi/viewcontent.cgi?article=1237&context=eri

zbMATH Keywords

aggregationaliasingdetrendingfiltersspectral

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

Recommendations

• Economic growth and business cycles: a critical comment on detrending time series
• Multivariate detrending under common trend restrictions: implications for business cycle research
• Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter
• Trend estimation and de-trending via rational square-wave filters
• Effects of the Hodrick-Prescott filter on trend and difference stationary time series

Cites work

• Discrete Approximations to Continuous Time Distributed Lags in Econometrics
• Effects of the Hodrick-Prescott filter on trend and difference stationary time series
• Low frequency filtering and real business cycles

Cited in

(4)

• Multivariate detrending under common trend restrictions: implications for business cycle research
• Economic growth and business cycles: a critical comment on detrending time series
• scientific article; zbMATH DE number 3906168 (Why is no real title available?)
• Converting Aggregates of Weekly Data into Monthly Values

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