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Investigating economic trends and cycles

By D.S.G. Pollock

Abstract

Last updated April 2008Methods are described for extracting the trend from an economic data sequence and for isolating\ud the cycles that surround it. The latter often consist of a business cycle of variable duration\ud and a perennial seasonal cycle.\ud There is no evident point in the frequency spectrum where the trend ends and the business\ud cycle begins. Therefore, unless it can be represented by a simple analytic function, such as an\ud exponential growth path, there is bound to be a degree of arbitrariness in the definition of the\ud trend.\ud The business cycle, however defined, is liable to have an upper limit to its frequency\ud range that falls short of the Nyquist frequency, which is the maximum observable frequency in\ud sampled data. This must be taken into account in fitting an ARMA model to the detrended\ud data

Publisher: Dept. of Economics, University of Leicester
Year: 2007
OAI identifier: oai:lra.le.ac.uk:2381/7474

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