Temporal aggregation of cyclical models with business cycle applications |
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Authors: | Giacomo Sbrana Andrea Silvestrini |
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Institution: | (1) Universit? de Strasbourg, Bureau d’?conomie Th?orique et Appliqu?e (BETA), 61 Avenue de la For?t Noire, 67085 Strasbourg Cedex, France;(2) Economics, Research and International Relations, Economic and Financial Statistics Department, Bank of Italy, Via Nazionale, 91, 00184 Roma, Italy |
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Abstract: | This paper focuses on temporal aggregation of the cyclical component model as introduced by Harvey (1989). More specifically, it provides the properties of the aggregate process for any generic period of aggregation. As a consequence,
the exact link between aggregate and disaggregate parameters can be easily derived. The cyclical model is important due to
its relevance in the analysis of business cycle. Given this, two empirical applications are presented in order to compare
the estimated parameters of the quarterly models for German and US gross domestic products with those of the corresponding
models aggregated to annual frequency. |
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Keywords: | |
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