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Periodic properties of interpolated time series

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  • Dezhbakhsh, Hashem
  • Levy, Daniel

Abstract

Although linearly interpolated series are often used in economics, little has been done to examine the effects of interpolation on time series properties and on statistical inference. We show that linear interpolation of a trend tationary series superimposes a ‘periodic’ structure on the moments of the series. Using conventional time series methods to make inference about the interpolated series may therefore be invalid. Also, the interpolated series may exhibit more shock persistence than the original trend stationary series.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 44 (1994)
Issue (Month): 3 ()
Pages: 221-228

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Handle: RePEc:eee:ecolet:v:44:y:1994:i:3:p:221-228

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  1. Simon Kuznets & Elizabeth Jenks, 1961. "Capital in the American Economy: Its Formation and Financing," NBER Books, National Bureau of Economic Research, Inc, number kuzn61-1.
  2. John Y. Campbell & N. Gregory Mankiw, 1988. "Are Output Fluctuations Transitory?," NBER Working Papers 1916, National Bureau of Economic Research, Inc.
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  6. Osborn, Denise R., 1991. "The implications of periodically varying coefficients for seasonal time-series processes," Journal of Econometrics, Elsevier, vol. 48(3), pages 373-384, June.
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  9. J. Bradford De Long & Lawrence H. Summers, . "How Does Macroeconomic Policy Matter?," J. Bradford De Long's Working Papers _130, University of California at Berkeley, Economics Department.
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  12. repec:fth:harver:1418 is not listed on IDEAS
  13. Cochrane, John H, 1988. "How Big Is the Random Walk in GNP?," Journal of Political Economy, University of Chicago Press, vol. 96(5), pages 893-920, October.
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Cited by:
  1. Matthew Higgins & Daniel Levy & Andrew Young, 2003. "Growth and Convergence across the U.S.: Evidence from County-level Data," Emory Economics 0306, Department of Economics, Emory University (Atlanta).
  2. Young, Andrew & Higgins, Matthew & Levy, Daniel, 2006. "Heterogeneous Convergence," MPRA Paper 954, University Library of Munich, Germany.
  3. Olivier Darné & Amélie Charles, 2012. "A note on the uncertain trend in US real GNP: Evidence from robust unit root tests," Economics Bulletin, AccessEcon, vol. 32(3), pages 2399-2406.
  4. Michael Ehrmann, 2000. "Comparing monetary policy transmission across European countries," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 136(1), pages 58-83, March.
  5. Franses, Philip Hans, 2013. "Data revisions and periodic properties of macroeconomic data," Economics Letters, Elsevier, vol. 120(2), pages 139-141.
  6. Daniel Levy, 2000. "Investment-Saving Comovement and Capital Mobility: Evidence from Century Long U.S. Time Series," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 3(1), pages 100-137, January.
  7. Daniel Levy & Haiwei Chen, 2005. "Estimates of the Aggregate Quarterly Capital Stock for the Post- War U.S. Economy," Others 0505008, EconWPA, revised 16 May 2005.

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