Temporal aggregation of cyclical models with business cycle applications

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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Article dans une revue
Statistical Methods and Applications, Springer Verlag, 2012, Vol. 21 (Issue 1), pp 93-107
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Soumis le : lundi 8 avril 2013 - 17:07:37
Dernière modification le : lundi 18 mai 2015 - 12:55:10

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  • HAL Id : hal-00809247, version 1

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Giacomo Sbrana, Andrea Silvestrini. Temporal aggregation of cyclical models with business cycle applications. Statistical Methods and Applications, Springer Verlag, 2012, Vol. 21 (Issue 1), pp 93-107. 〈hal-00809247〉

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