{"created":"2023-05-15T15:44:07.955207+00:00","id":2278,"links":{},"metadata":{"_buckets":{"deposit":"bbafe1dd-7194-47bc-b1e5-b0428a12bd14"},"_deposit":{"created_by":3,"id":"2278","owners":[3],"pid":{"revision_id":0,"type":"depid","value":"2278"},"status":"published"},"_oai":{"id":"oai:seijo.repo.nii.ac.jp:00002278","sets":["1:24:33:584"]},"author_link":["5630","5629","5628"],"item_1_biblio_info_14":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2011-01","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"191","bibliographicPageEnd":"27","bibliographicPageStart":"1","bibliographic_titles":[{"bibliographic_title":"成城大學經濟研究"}]}]},"item_1_creator_6":{"attribute_name":"著者名(日)","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"大津, 武"}],"nameIdentifiers":[{"nameIdentifier":"5628","nameIdentifierScheme":"WEKO"}]}]},"item_1_description_1":{"attribute_name":"ページ属性","attribute_value_mlt":[{"subitem_description":"P(論文)","subitem_description_type":"Other"}]},"item_1_description_12":{"attribute_name":"抄録(英)","attribute_value_mlt":[{"subitem_description":"This paper investigates effects of the Christiano-Fitzgerald (CF) detrending procedure, following Chan, Hayya, and Ord (1977) and Nelson and Kang (1981). The main findings are as follows. First, inclusion of an intercept term into detrending models creates artifactual cyclical components in the spectral density function (SDF) and introduces nonlinearity in the autocorrelation function (ACF) when the true data generating process follows the random walk. Second, the Christiano-Fitzgerald (CF)-type procedure with no intercept does not create artifactual cyclical components over the frequency range corresponding to the periods of cycles observable in sample. Finally, when the CF procedure is implemented with the mean-corrected time trend, the ACF of the transformed data does not show artifactual autocorrelations, and produces a good approximation to that of the true process. These findings lead to the conclusion that the CF procedure is harmless in the linear time trend removal in that it would create less distortion in SDF and ACF of the transformed data.","subitem_description_type":"Other"}]},"item_1_full_name_7":{"attribute_name":"著者名よみ","attribute_value_mlt":[{"nameIdentifiers":[{"nameIdentifier":"5629","nameIdentifierScheme":"WEKO"}],"names":[{"name":"オオツ, タケシ"}]}]},"item_1_full_name_8":{"attribute_name":"著者名(英)","attribute_value_mlt":[{"nameIdentifiers":[{"nameIdentifier":"5630","nameIdentifierScheme":"WEKO"}],"names":[{"name":"Otsu, Takeshi","nameLang":"en"}]}]},"item_1_source_id_13":{"attribute_name":"雑誌書誌ID","attribute_value_mlt":[{"subitem_source_identifier":"AN00127472","subitem_source_identifier_type":"NCID"}]},"item_1_text_2":{"attribute_name":"記事種別(日)","attribute_value_mlt":[{"subitem_text_value":"論文"}]},"item_1_text_3":{"attribute_name":"記事種別(英)","attribute_value_mlt":[{"subitem_text_language":"en","subitem_text_value":"Article"}]},"item_1_text_9":{"attribute_name":"著者所属(日)","attribute_value_mlt":[{"subitem_text_value":"成城大学経済学部"}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2011-01-01"}],"displaytype":"detail","filename":"KJ00007231639.pdf","filesize":[{"value":"6.9 MB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"url":"https://seijo.repo.nii.ac.jp/record/2278/files/KJ00007231639.pdf"},"version_id":"6d840d49-772f-484a-a687-c7b41c0883bc"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"departmental bulletin paper","resourceuri":"http://purl.org/coar/resource_type/c_6501"}]},"item_title":"Toward Harmless Detrending","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Toward Harmless Detrending","subitem_title_language":"en"}]},"item_type_id":"1","owner":"3","path":["584"],"pubdate":{"attribute_name":"公開日","attribute_value":"2011-01-01"},"publish_date":"2011-01-01","publish_status":"0","recid":"2278","relation_version_is_last":true,"title":["Toward Harmless Detrending"],"weko_creator_id":"3","weko_shared_id":-1},"updated":"2023-05-16T15:38:02.773807+00:00"}