This paper shows that temporal aggregation affects estimates of trend-cycle variances and of persistence of shocks to economic variables. The authors analyze UCARIMA models with orthogonal components and show two results. First, they prove that when the decay rates of the autocovariance...

Since the influential work of Charles R. Nelson and Charles Plosser (1982), many empirical studies have concluded that macroeconomic time series are difference stationary. This paper proposes the segmented trend model as an alternative in which the series is the sum of a nonstationary trend and...