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Periodic Properties of Interpolated Time Series

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Author Info

  • Hashem Dezhbakhsh

    (Emory University)

  • Daniel Levy

    (Bar-Ilan University)

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

Paper provided by EconWPA in its series Econometrics with number 0505004.

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Length: 12 pages
Date of creation: 15 May 2005
Date of revision:
Handle: RePEc:wpa:wuwpem:0505004

Note: Type of Document - pdf; pages: 12
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Web page: http://128.118.178.162

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Keywords: Linear Interpolation; Trend-Stationary Series; Shock Persistence; Periodic Properties of Time Series;

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References

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Citations

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Cited by:
  1. Matthew J. Higgins & Daniel Levy & Andrew T. Young, 2006. "Heterogeneous Convergence," Emory Economics 0615, Department of Economics, Emory University (Atlanta).
  2. 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).
  3. Michael Ehrmann, 2000. "Comparing monetary policy transmission across European countries," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 136(1), pages 58-83, March.
  4. 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.
  5. Levy, Daniel & Chen, Haiwei, 1994. "Estimates of the Aggregate Quarterly Capital Stock for the Post-war U.S. Economy," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 40(3), pages 317-49, September.
  6. Amélie Charles & Olivier Darné, 2010. "A note on the uncertain trend in US real GNP: Evidence from robust unit root test," Working Papers hal-00547737, HAL.
  7. Franses, Philip Hans, 2013. "Data revisions and periodic properties of macroeconomic data," Economics Letters, Elsevier, vol. 120(2), pages 139-141.

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