Journal of Business Cycle Measurement and Analysis

Frequency
3 times a year
ISSN: 
1729-3626 (online)
ISSN: 
1729-3618 (print)
http://dx.doi.org/10.1787/17293626
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The Journal of Business Cycle Measurement and Analysis has been discontinued as of 24 June 2016. This journal was published jointly with CIRET from 2004 to 2015. For more information see www.ciret.org/jbcy.

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Article
 

Extracting a Common Cycle from Series with Different Frequency

An Application to the Italian Economy You do not have access to this content

English
 
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    http://oecd.metastore.ingenta.com/content/3305031ec005.pdf
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Author(s):
Edoardo Otranto
05 Apr 2006
Pages:
23
Bibliographic information
No.:
16,
Volume:
2005,
Issue:
3
Pages:
407–429
http://dx.doi.org/10.1787/jbcma-v2005-art11-en

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The extraction of a common signal from a group of time series is generally obtained using variables recorded with the same frequency or transformed to have the same frequency (monthly, quarterly, etc.). The econometric literature has not paid a great deal of attention to this topic. In this paper we extend an approach based on the use of dummy variables to the well known trend plus cycle model, in a multivariate context, using both quarterly and monthly data. This procedure is applied to the Italian economy, using the variables suggested by an Italian Institution (ISAE) to provide a national dating, and compared with the equivalent multivariate and univariate approaches with monthly data. We note that the contemporaneous use of quarterly and monthly data provides results more consistent with the official ones with respect to the other approaches.

 
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