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Periodic Properties of Interpolated Time Series

Author

Listed:
  • 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.

Suggested Citation

  • Hashem Dezhbakhsh & Daniel Levy, 2005. "Periodic Properties of Interpolated Time Series," Econometrics 0505004, University Library of Munich, Germany.
  • Handle: RePEc:wpa:wuwpem:0505004
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    References listed on IDEAS

    as
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    Citations

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    Cited by:

    1. Franses, Philip Hans, 2013. "Data revisions and periodic properties of macroeconomic data," Economics Letters, Elsevier, vol. 120(2), pages 139-141.
    2. 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.
    3. Young, Andrew T. & Higgins, Matthew J. & Levy, Daniel, 2013. "Heterogeneous convergence," Economics Letters, Elsevier, vol. 120(2), pages 238-241.
    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. 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).
    6. Daniel Levy & Haiwei Chen, 2005. "Estimates of the Aggregate Quarterly Capital Stock for the Post- War U.S. Economy," Others 0505008, University Library of Munich, Germany, revised 16 May 2005.
    7. Michael Ehrmann, 2000. "Comparing monetary policy transmission across European countries," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 136(1), pages 58-83, March.

    More about this item

    Keywords

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

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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