In this paper we introduce a sequential seasonal unit root testing approach which explicitly addresses its application to high frequency data. The main idea is to see which unit roots at higher frequency data can also be found in temporally aggregated data. We illustrate our procedure to the...

The negative first-lag autocorrelation of U.S. monthly consumption changes rejects the continuous-time random walk model of consumption. This paper addresses the question of whether data distortions due to measurement errors or the application of the X-11 filter may explain this negative...

The negative first-lag autocorrelation of monthly consumption changes rejects the continuous-time random walk model of consumption. This paper addresses the question of whether data distortions due to measurement errors or seasonal adjustment procedures may explain this negative autocorrelation,...

Economic models are meant to provide a framework to describe real-world economic activities. In principle, how well a model performs this task can be evaluated by how close the model's simulated activities track the observed ones. A necessary first step in simulating a model is to choose values...

This paper examines the combined influences of detrending and time aggregation on the measurement of business cycles. The approximate band- pass filter of Baxter and King (1999) performs relatively well in the sense that it retains the basic shape of disaggregate spectra and cospectra when...