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Statistical Properties of Data Stretching


  • Greenberg, E
  • Pollard, W A
  • Alpert, W T


This research examines the properties of an estimation procedure frequently used because observations on some variables are available only at higher levels of aggregation than others. When this occurs, data are often stretched by repeating observations on variables at higher levels of aggregation. We show that this procedure results in biased estimators of coefficients and error variances. Under some circumstances the estimation based on stretched data has a smaller covariance matrix than that based on aggregated data. Comparisons of mean squared errors depend on unknown coefficients. Copyright 1989 by John Wiley & Sons, Ltd.

Suggested Citation

  • Greenberg, E & Pollard, W A & Alpert, W T, 1989. "Statistical Properties of Data Stretching," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(4), pages 383-391, Oct.-Dec..
  • Handle: RePEc:jae:japmet:v:4:y:1989:i:4:p:383-91

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    References listed on IDEAS

    1. Cukierman, Alex & Wachtel, Paul, 1979. "Differential Inflationary Expectations and the Variability of the Rate of Inflation: Theory and Evidence," American Economic Review, American Economic Association, vol. 69(4), pages 595-609, September.
    2. Logue, Dennis E & Willett, Thomas D, 1976. "A Note on the Relation between the Rate and Variability of Inflation," Economica, London School of Economics and Political Science, vol. 43(17), pages 151-158, May.
    3. A. R. Pagan & A. D. Hall & P. K. Trivedi, 1983. "Assessing the Variability of Inflation," Review of Economic Studies, Oxford University Press, vol. 50(4), pages 585-596.
    4. Barro, Robert J., 1976. "Rational expectations and the role of monetary policy," Journal of Monetary Economics, Elsevier, vol. 2(1), pages 1-32, January.
    5. Foster, Edward, 1978. "The Variability of Inflation," The Review of Economics and Statistics, MIT Press, vol. 60(3), pages 346-350, August.
    6. Lucas, Robert E, Jr, 1973. "Some International Evidence on Output-Inflation Tradeoffs," American Economic Review, American Economic Association, vol. 63(3), pages 326-334, June.
    7. Cukierman, Alex & Wachtel, Paul, 1982. "Inflationary Expectations: Reply and Further Thoughts on Inflation Uncertainty," American Economic Review, American Economic Association, vol. 72(3), pages 508-512, June.
    8. Demetriades, Panikos, 1988. "Macroeconomic aspects of the correlation between the level and variability of inflation," Economics Letters, Elsevier, vol. 26(2), pages 121-124.
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