Interpolation and shock persistence of prewar U.S. macroeconomic time series: A reconsideration

Arbeitspapier

The U.S. prewar output series exhibit smaller shock-persistence than postwar-series. Some studies suggest this may be due to linear interpolation used to generate missing prewar data. Monte Carlo simulations that support this view generate large standard-errors, making such inference imprecise. We assess analytically the effect of linear interpolation on a nonstationary process. We find that interpolation indeed reduces shock-persistence, but the interpolated series can still exhibit greater shock-persistence than a pure random walk. Moreover, linear interpolation makes the series periodically nonstationary, with parameters of the data generating process and the length of the interpolation time-segments affecting shock-persistence in conflicting ways.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 2022-02

Classification and Topics

• Classification: Wirtschaft ; Econometrics ; Mathematical Methods ; Measurement and Data on National Income and Product Accounts and Wealth; Environmental Accounts ; Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) ; Economic History: Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations: General, International, or Comparative
• Subject: Linear Interpolation ; Random Walk ; Shock-Persistence ; Nonstationary series ; Periodic nonstationarity ; Stationary series ; Prewar US Time Series

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Dezhbakhsh, Hashem ; Levy, Daniel C.
• Event: Veröffentlichung
• (who): Bar-Ilan University, Department of Economics
• (where): Ramat-Gan
• (when): 2022

Further information

• Handle: http://hdl.handle.net/10419/272972
• Last update: 10.03.2025, 11:44 AM CET