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Estimating persistence for irregularly spaced historical data

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  • Philip Hans Franses

    (Econometric Institute)

Abstract

This paper introduces to the literature on Economic History a measure of persistence which is particularly useful when the data are irregularly spaced. An illustration to ten historical unevenly spaced data series for Holland of 1738 to 1779 shows the merits of the methodology. It is found that the weight of slave-based contribution in that period has grown with a deterministic trend pattern.

Suggested Citation

  • Philip Hans Franses, 2021. "Estimating persistence for irregularly spaced historical data," Quality & Quantity: International Journal of Methodology, Springer, vol. 55(6), pages 2177-2187, December.
    • Handle: RePEc:spr:qualqt:v:55:y:2021:i:6:d:10.1007_s11135-021-01099-6
    DOI: 10.1007/s11135-021-01099-6
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    References listed on IDEAS

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    1. Robinson, P. M., 1977. "Estimation of a time series model from unequally spaced data," Stochastic Processes and their Applications, Elsevier, vol. 6(1), pages 9-24, November.
    2. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    3. Franses,Philip Hans & Dijk,Dick van & Opschoor,Anne, 2014. "Time Series Models for Business and Economic Forecasting," Cambridge Books, Cambridge University Press, number 9780521817707.
    4. van Zanden, Jan Luiten & van Leeuwen, Bas, 2012. "Persistent but not consistent: The growth of national income in Holland 1347–1807," Explorations in Economic History, Elsevier, vol. 49(2), pages 119-130.
    5. Eltis, David & Engerman, Stanley L., 2000. "The Importance of Slavery and the Slave Trade to Industrializing Britain," The Journal of Economic History, Cambridge University Press, vol. 60(1), pages 123-144, March.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Irregularly spaced time series; Economic history; Slave trade; First order autoregression; Persistence;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • N01 - Economic History - - General - - - Development of the Discipline: Historiographical; Sources and Methods

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